I have always been told that it is not good for you. The common one is that you could catch a cold. This is highly unlikely unless you have a cold coming already.
The real reason is hat it can damage your hair. Apparently you can stretch your hair shaft. When your head hits the pillow damp and you toss ant turn you are possibly stretching your hair shaft. For a guy this sounds a bit weird as we mostly have short hair , but for a female it is a real possibility.