Sometimes your old location doesn't get the message that you changed registrations. There are legit reasons to live somewhere else but still be registered in your old location (temporary relocation, being a student, etc) so changing addresses doesn't necessarily mean you aren't a valid voter. Meanwhile your new location registers you just fine because you proved residency there. The new location is supposed to notify the old location but, in my experience, it's hit or miss.

You should vote in your new location and destroy the ballot for the old location. It's not a crime unless you vote in both. You will naturally fall off the voter roll for your old location after a set time of missing votes. You can also manually notify them but I think most people don't. I did this once and they acted like it was unusual.