To add to Mark's comments that you should, if anything, err on the side of underexposing with digital since one can recover more from the shadows than with film. One has about two stops latitude on overexposure on negative film (and one under), depending on the scene.
Of course, ETTR's purpose (roughly speaking) is to maximize capture quality (w.r.t. noise and number of levels of luminosity distinguished) after applying exposure compensation in post while staying within the scene's dynamic range. But if what you want/need is not provided by ETTR, then it can be "wrong", just like trying to use any tool for something it wasn't intended for.
In addition to the examples from Guillermo, here are some more:
For instance, if you need to use unadjusted output from the camera (for example, to hand an out-of-camera JPEG to a client on the spot), then you don't have the option of adjusting exposure compensation in post; ETTR is not suitable here. Or, if you know you can afford to blow highlights, then you're not staying within the scene's dynamic range. For example, maybe you're going to crop your image to eliminate the part with blown out highlights. Here, you can increase exposure even more to maximize capture quality. But you really do need to make sure you can afford/want to have clipped highlights and/or will be removing those sections of the image later.
If you're shooting RAW and can adjust later, the exposure you would get from using ETTR should be the minimum and only to be exceeded if you know what you're doing!