Models of threshold driven contagion successfully explain the cascading spread of information, behaviour, systematic risks and epidemics on social, financial and biological networks. Contradicting real observations, on single-layer networks with sufficiently high connectivity such models predict no global cascades. We investigate threshold driven contagion on weight heterogeneous multiplex networks and show that they remain susceptible to global cascades at any level of connectivity; and with increasing edge density pass through alternating phases of stability and instability in the form of reentrant phase transitions of contagion. Our results provide a missing theoretical explanation for the observation of large scale contagion in highly connected but heterogeneous networks.