its bad because it can damage the firing pin over time.
Also, while Glocks need to be dry fired to disassemble, I've seen several pictures and posts over the years of people who have cracked part of their slide from dry firing - its the metal surrounding the firing pin hole.
Now, I haven't seen this (the cracking of the slide) on any other gun but a Glock. But, many other guns can break a firing pin somewhat easily. Beretta 92s supposedly should not be dry fired much. I've heard a lot of broken firing pin stories among owners of that gun.