Is it illegal to have multiple trading accounts?

I'm curious, is it actually illegal to have multiple trading accounts? I've heard some people say that it's against the rules, but I'm not entirely sure. Could you clarify this for me? I'm interested in exploring different strategies and platforms, but I don't want to run into any legal issues. Is there a specific rule or regulation that prohibits having multiple trading accounts, or is it more of a grey area? Thank you for your help!