Not a big deal on a mountain bike. But if you are using STI levers with it on a touring or cross bike it can be a problem.
I ran in to this on my cross bike. You can keep tinkering with trying to get the cable in just the right spot or buy a $15 part and be on the road to shifting bliss.
Step 1: Tools
Step 2: Cable
Cut about 1" of cable housing off and insert the sti adjuster.
Step 3: Tighten
You could mount the adjuster down on the rear derailleur but I think that might get a little too much mud in it and be unreliable.