It's important to remember that Linus is primarily writing about C code formatting. C doesn't have things that tend to create more deeply nested structures, such as a formal class syntax, or nested functions.

Going too deep is still bad--as zea notes, it's an indication of control structures run amok--but the exact number is dependent on the language and the context.

Indentation implies there's some control structure causing it. Too many control structures nested gets hard to mentally keep track of. 3 is arbitrary, but in general more indentation => harder to understand, which is bad.

Like with everything, context matters. Sometimes it can indicate poorly structured control flow, other times inefficient loop nesting. But many times it is just somebody’s preference for guard clauses. As long as the intent is clear, there are no efficiency problems, and it is possible to reach the fewest branches necessary, I see no issues.