You can have multiple contexts for single database. It can be useful for example if your database contains multiple database schemas and you want to handle each of them as separate self contained area.
The problem is when you want to use code first to create your database - only single context in your application can do that. The trick for this is usually one additional context containing all your entities which is used only for database creation. Your real application contexts containing only subsets of your entities must have database initializer set to null.
There are other issues you will see when using multiple context types - for example shared entity types and their passing from one context to another, etc. Generally it is possible, it can make your design much cleaner and separate different functional areas but it has its costs in additional complexity.