Models of threshold driven contagion explain the cascading spread of information, behavior, systemic risk, and epidemics on social, financial, and biological networks. At odds with empirical observations, these models predict that single-layer unweighted networks become resistant to global cascades after reaching sufficient connectivity. We investigate threshold driven contagion on weight heterogeneous multiplex networks and show that they can 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 theoretical explanation for the observation of large-scale contagion in highly connected but heterogeneous networks.