Because he is a person he can only be in one place at a time, like God the Father and Jesus Christ. However the power and influence of the Holy Ghost are everywhere.
Mormons use an analogy with the sun to explain this.
The sun itself can be in only one place at a time. But the heat, light, and energy that radiate from it fill the entire solar system at once.
Similarly, the Holy Ghost as a person can be in only one place at one time, but his influence and power can and do fill the immensity of space.