@PumpkinSpice - This happens because oxygen needs to bind with the hemoglobin in red blood cells to be transported throughout the body. The red marrow increases the number of red blood cells produced to make more hemoglobin available for the oxygen to bind with.
Those who live in high altitude locations for their whole lives are accustomed to this low level of oxygen, so there aren't many side effects despite the increased number of red blood cells produced by the red marrow. However, when people of lower altitudes move to higher altitudes, the changes in red blood cell production can be uncomfortable. They may have difficulty breathing, a rapid heart rate, edema (fluid release by the blood), and changes in blood pH levels.