Summary
I was creating a simple hello world application customizer using the following documentation.
Build your first SharePoint Framework Extension (Hello World part 1)
After following the steps and I tried to debug I got the following error.

When I searched for the solution on the web I saw Vesa mentioned with a tip that the web server may not be running. I did run “gulp server” and it should run the local web server.
I did more search and I got some suggested posts to delete the browser cache, log out from the SPO site.
Nothing worked.
Resolution
I went back to the documentation step by step, I have missed the following step.
gulp trust-dev-cert
For more details follow Trusting the self-signed developer certificate
Trusting the self-signed developer certificate