\footnote is a fragile command and section (or subsection) titles are moving arguments (meaning they get written to an auxiliary file to be used in the table of contents). Fragile commands break in moving arguments and the standard solution is to protect them with \protect:
\documentclass{scrartcl}
\begin{document}
\section{foo\protect\footnote{bar}}
\end{document}
This will however also produce a footnote in the table of contents:
\documentclass[paper=10cm:6cm]{scrartcl}% to get a small picture for tex.sx
\begin{document}
\tableofcontents
\section{foo\protect\footnote{bar}}
\end{document}

In order to avoid this use the optional argument of \section for the TOC or even better: don't use footnotes in headings.
\documentclass[paper=10cm:6cm]{scrartcl}
\begin{document}
\tableofcontents
\section[foo]{foo\footnote{bar}}
\end{document}
