Every time you see a claim like “study links X to Y” or “X is correlated with Y”, you should always always always remember that there are three possibilities: X causes Y, Y causes X, or some third factor Z causes both X and Y. I can’t understate the importance of thinking this way and not jumping to unwarranted conclusions. You should also exercise your imagination by trying to imagine why each of these three possibilities might hold.

Edit: There's also the possibility of spurious correlations, as mentioned in the comments below.