As the tooltip suggests, Blender does not allow to apply modifiers to multi-user data. I.e. your object shares mesh data with some other object. You need to make it unique to be able to apply modifiers. This is done via the menu Object → Relations → Make Single User → Object & Data.
Alternatively, you may want to look into using the wonderful Modifier List add-on:
This one, instead of outright forbidding to apply with linked data, will let you choose what to do. It also works around the restriction mentioned by Koekepann above.