Your body can react to the pain excitation in some slightly harmful ways, such as diarrhea, overproduction of mucus, altered digestion, etc.
True, the capsaicin itself doesn't harm your body, but the pain can in itself cause some slight damage (and like any drug, an overdose of capsaicin can be very dangerous).
At the very least you will get "burnt" a second time when the capsaicin leaves your body again. Maybe there are people who also like this sensation, but I for one could do without it...