Does a Connector With Multiple GND Pins Make a GND Loop?
In addition to the capacitive coupling mentioned by John D, there's inductive coupling at the higher edge rates.  Ideally each signal line will have a return that runs right next to it; then the mutual inductance makes it such that the return current flows in that one ground wire, not the others.  The signal line and its ground return are basically in the same place, with equal and opposite currents cancelling each other out so they don't radiate or accept interference.  Even if it's a connector for a card and not a cable, and if you can't have a ground pin for every signal pin, you still want to distribute the ground pins evenly so any given signal pin's distance to a ground return pin is as close as possible.  The matter of mutual inductance is similar in a ground plane in a PC board.  Ground fills with one or more interruptions don't qualify.  There must be a continuous, uninterrupted ground plane under the trace.  The return current does not take the shortest possible path; but instead, because of mutual inductance, the return current travels directly underneath the trace, taking the shape of the trace, as that's what's easiest for it.  This also produces the least interference, and accepts the least.