No, not a problem with modern Macs if you wish to do so. But be aware of point / counterpoints. As always there are trade offs. Some different issues with desktops & laptops (batteries) though.
Basically it is your choice. If you are going to be away for many hours or days, why not turn it off? If you are coming right back to the computer to use again in minutes or an hour or two (or someone else is) leaving it on might make sense.
PRO: convenience, always available, quick wake up
CONS: powered device always uses power Security issues with an unattended powered computer.
hardware standpoint:
PRO: Some argue leaving hard drives on & spinning lessen stress on mechanical moving parts (heads) and maintains lubrication on bearings. Less voltage transients on components, power supply etc by avoiding startup demands. Thermal stress of heating & cooling of components is less by leaving it on. Older CRTs (I should think LCD less so) definitely hit by thermal stress & hard drives as well for many on & off cycles.
CONS: Alway on does use energy. Always on units subject to outside voltage and power spikes & outages (unless you have UPS) with power grid problems and thunderstorms. Always on means heat, and constant air flow cooling wear & tear on fan motors, and constant introduction of dust & dirt with air drawn in. Energy Star SLEEP functions should lessen both power consumption and dust & dirt accumulation. Dust drawn into or over electronic components are often attracted by static charges and accumulate like a coating on components and more of a problem with Always on devices.