Data roaming lets you receive data through a network provider other than your mobile operator's network.
In practice, this is useful when traveling abroad where your operator is not available or if you subscribed to an operator that uses part of the network of another provider (such as Free Mobile).
To use this option, it needs to be included in your contract. It might, however, cause additional costs depending on your contract.
The charges generated by data roaming when you are abroad can be extremely high.
This option should be turned off if not used. Go in (or) Settings > More... > Mobile network / Data roaming and untick the box.