With centerfire, it doesn't hurt anything. Rimfire is a different animal. Because of where the "primer" is on a rimfire, in the rim, the firing pin must strike there. So when there isn't a round in the chamber, there's no rim for the firing pin to hit, it smacks into the back of the chamber, and can damage either the firing pin or the chamber, or both.
"Breathe when you can, shoot when you should."
"Qui desiderat pacem, bellum praeparat; nemo provocare ne offendere audet quem intelliget superiorem esse pugnaturem"