Locomotion over soft terrain remains a challenging problem for legged robots. Most of the work done on state estimation for legged robots is designed for rigid contacts, and does not take into account the physical parameters of the terrain. That said, this letter answers the following questions: how and why does soft terrain affect state estimation for legged robots? To do so, we utilized a state estimator that fuses IMU measurements with leg odometry that is designed with rigid contact assumptions. We experimentally validated the state estimator with the HyQ robot trotting over both soft and rigid terrain. We demonstrate that soft terrain negatively affects state estimation for legged robots, and that the state estimates have a noticeable drift over soft terrain compared to rigid terrain.