I would say this is false.
As Nubius suggested, your data may corrupt, possibly due to a problem with one of your chipsets during the OC, but I would say that is highly unlikely.
Actual physical damage to a hard drive would not happen though.
Intel C2D E6320 / AMD Athlon X2 3800+
Gigabyte 965P DS3 / DFI nF4 Ultra-D
2GB OCZ Gold PC2-6400 / 2GB OCZ Gold PC4000
eVGA 8800GTS 320MB / eVGA 6800GS 256MB
150GB Raptor / 74GB Raptor
2x500GB / 320GB
OCZ GameXStreme 850w / OCZ StealthXStream 600w