No, assuming the filter is effective, it will do nothing bad unless you suck water into the engine. OEM engineers take into account the fact that their cars will be driven in heavy storms and through flash-flooded intersections from time to time, and so their intakes generally have large drain holes and other precautions. Aftermarket intakes generally do not. Splashing through a flooded intersection with a low-mounted cold air intake faster than, oh say 2 MPH, is a good way to force a significant volume of uncompressible water all the way into the cylinder, which will cause immediate and potentially catastrophic damage to any engine.
(And that's not covered by warranty!)