I've never heard this before. What would be an example of somewhere you don't want to go? I've never clicked a shortened URL and had unexpected results.
Most of the time it happens on Twitter. Someone will tweet a bitly link with some enticing headline but I refuse to click it because I don't know where the link is taking me. Perhaps I'm just overly cautious...
I'm surprised that no one responded to this dubious claim with a link to e.g. goatse...