It does make difference. Just assume you have PCB board and you put some critical components inside one shielding can to avoid either radiation or noise pick-up. There must be some wires/tracks leading the components inside the can to the outside circuits.
If the shielding can is not connected to GND, then there will build potential between the shielding can and the board GND. This potential will cause some noise of the wires/tracks connecting the inside and outside components.
Another advantage to connect shielding can to GND is that the heat generated inside the shielding can will be conducted to GND plane(s) in the main board. This will help to solve the cooling problem if the components inside the shielding can are power hungry.