As John says, it won't damage the scanner, but in an urban environment, it's quite possible that it could overload it. This could cause you to hear all sorts of unwanted garbage such as pagers on frequencies you would not otherwise, or in extreme cases, cause the handheld to actually hear less than you would normally.
Handhelds are generally not so tolerant of gain antennas in urban environments - their front ends are rarely robust enough to handle the additional gain. Duckies are something of an exception, as they actually start off as loss antennas anyway :.>>
73s Mike