Actually, I'd argue that it is bad. You will not damage the computer hardware, but depending on what you're doing you may actually drop important connections. It's going to be less bad that pulling out a USB drive, but there is still the possibility of corrupting a file that is mid-transfer, or interrupting your connection to the local Minecraft server - That's why the connections have a locking tab, you don't want the connection just popping out randomly.
In all seriousness though, you won't break anything. If you do a quick swap of a cable to change ports or something you *may* have a program complain about the interruption, but you can usually resume a download where it left off, and if you're using an application that is particularly sensitive to network drops (Like SSH or IRC) you'd probably know about it, so just close your sessions before yanking on the cord.