Baggage could be anything. It might be that he’s had a difficult relationship, and has been burnt and has trust issues. It might mean that things are not quite over with the last relationship. It could mean he’s being stalked, or that the old girlfriend just won’t give up. It might mean that he has psychological issues of some sort. It might mean he has a child he’s responsible for. It really could mean anything.
I don’t know you, and I have no idea what kind of guy you’re looking for. I think he should get points for honesty. I think that, depending on your feeling from your current interaction, you may want to hear what his story is. It may or may not be his fault. Even if it is a mistake he made, he may have learned a lot from it.
On the other hand, it could mean he’s a drama addict. I used to do things like this when I was mentally ill (bipolar disorder). I’d warn women off, and it usually seemed to have the opposite effect. Like they wanted to somehow take care of me instead of running away. But, when you’re needy, I guess you attract women who want to be needed.
So he might be telling you this to see what kind of person you are. Perhaps you will be attracted to someone with issues. Perhaps the drama will pique your curiousity. Sometimes warning someone is a way of attracting them. It all depends on what kind of people you each are.
What is your feeling about this? Does it attract you? Do you want to help? Or do you really think it’s a red flag, and you’re just looking for confirmation that you should stay out of it? It’s hard to be involved with someone who has drama without being sucked into the drama. You better like it if you want to date this guy. But it’s not a bad thing if you do like it.