Some game designs define limits on the realtime duration of a game. For instance, the game might be set to end in one hour, a single turn might be limited to always last at most 2 minutes, or your side might be limited to 15 minutes of playing time, in the manner of a chess clock. If such limits are in effect, your display should be able to show you how much time you have left at any moment; pay attention!
When you run out of time, you are not automatically taken out of the game, but you can no longer do anything with your units. Units that already have plans will continue to act on them.
You can see what the limits are by looking at the "game design" node of the online help.