Normally it does not cost you anything to use your voicemail in your home country, but when you are abroad (depending on your mobile operator and/or subscription model) it may cost you a lot of money to keep your voicemail enabled.
The reason is that when someone tries to call you, he will be reverted to your voicemail box in your home country by the mobile operator in the country your are in at that time. This means you will charged for:
1. the costs for reverting calls to your voicemailbox (charges for calling abroad)
2. the costs for incoming calls abroad; even if the caller does not leave a message you will be charged the costs (charges for receiving calls abroad)
Depending on the country you are in, you will be charged per second or per minute. So, regarding the latter, if someone tries to call you and does not leave a message, you will still be charged a 1 minute call abroad + redirection.
While it looks like my mobile operator Telfort tries to obscure the actual costs (at least I cannot find a clear answer on their website) I found more information about the costs elsewhere. Apparantly Telfort charges about € 2,52 + 19% tax per call ending up in your voicemail box. This may sum up to a nice total when you get called a lot.

You have to pay double for people reaching your voicemail when abroad and you have to pay to listen to your voicemails.
So, what can we do about it? First best practise is to make sure you disable voicemail with your mobile operator when you go abroad. Secondly, there are several common mobile network codes which offer a broad range of functionality of which ##21# is the most interesting to us. This particular code will deactivate all call diverts, making sure you will not get charged unexpected costs. Just enter the code and press the send / OK / call button and all call diverts will be deactivated. Use *21# to view the current status.
To re-activate the diverts, you need to know the number of your voicemail box and use the following code: **21*phonenumber#. However, as I am moving to Australia and I actually don’t want to reachabe 24/7, I do not intend to re-enable my voicemail so I can’t help you with the proper number to re-enable diverts
ps. A list of mobile hash codes (in Dutch).