I wouldn't say there is specifically something "wrong" with it, it's just not the expected thing. I've never been to someones house and removed my shoes before crossing the threshold. Every house I've been either you haven't been expected to take your shoes off, or they had a mat inside/outside the door to wipe your shoes on, and then put them off to the side.
If you live in an apartment building or have a porch it's possibly different, but for a house where outside is outdoors (i.e exposed to rain) I'd say it's common to remove them inside.