It's the weakness of any instrument in equal temperament. The best you can get is not precisely "in tune" unless you use just-temperament...in which case you then are limited to the number of keys you can play in...
That said, a skillful player with a well-made instrument can moderate this to some degree, and if you use an instrument like most non-fretted strings or a slide trombone, you can bypass this problem. Of course, popular music usually bypasses the problem by limiting the number of keys songs get written in...
