No, If you can drive your internal combustion engine vehicle with NO fuel than you have a secret that could make you the richest person in the world. Since you are obviously three years old, I suggest that you go and ask your mum or dad.
It's technically not bad for every vehicle. In my experience most newer vehicles have an electronic fuel pump. Most pumps are cooled by the fuel that is pumped through, so running the car to empty could possibly cause the fuel pump to overheat and burn up. Depending on vehicle make/model/year it could be pretty pricey to replace.
So don't do it. Try to keep your fuel level at a 1/4 tank or at the bare minimum 1/8. Any less and you risk damaging the pump.