It could. There is no OFF switch on your PC. It is only an ON switch. Windows does a lot of things when it is shut down properly using the "button" on your screen. Also there are a lot of programs running in the background all the time. When you force it to shut down by removing power such as using the ON switch or pulling the plug, you leave things undone and if by chance some program was doing something when it lost power, you could leave your system corrupted.
You will not necessarily do damage every time you force a shut down but it is a bit like Russian roulette. Do it too many times, and the odds become higher and higher you will corrupt the system.
When a system is again started after an instance of this, it will recognize that its last shut down was not done correctly. It will tell you that and attempt repairs to fix the damage. Because this is such good software, it will quite often be successful, but that can take quite a period of time.
There is some probability that your system will not be able to repair itself and it may require a technician to fix it. It could even result in the loss of the data on your computer. A very good reason you should do backups regularly and on a device that is very reliable -- it should be an external hard drive. Hint: Make certain you are backing up everything you could lose.
Power is sometimes lost involuntarily such as a power outage.