No. It is not wrong to ask questions.
The fact that you are asking questions shows that you want to know - that you may have understood it to some degree and are trying now to understand more deeply. It could also mean that you understand it in a different way and now want to explore it from the other people's point of view.
It means you are not a blind follower.
It means that you are using the faculty of 'thinking, examining and analyzing' – a precious gift from God; a faculty that is available only to humans.
No other creature has this ability. Only humans can question and try to find the answers.
Why would God give this 'gift’ – the ability to ‘think, examine and analyze' to us if He did not want us to use it?
However, there is another side. It depends on what kind of questions we ask - how we ask them and why. Are we asking questions to satisfy a genuine quest for knowledge or just for the sake of argument - or to bring some one down?
Great minds ask great questions. Many people consider Arjuna a lesser Bhakta (Devotee) because he kept asking questions. As a matter of fact, we should be grateful to Arjuna for asking such intelligent questions. If he had not asked those questions to Lord Krishna, then there would have been no 'Bhagavad Geeta' today. It is indeed because of Arjuna that the world has received such a great gift in the form of ‘Gita’ - a great scripture that has changed the lives of countless number of people all over the world. It is the description on the subjects of Aatma and Parmaatma; the soul and God - and the importance of Gyana, Karma, and Bhakti - and how to achieve Moksha etc. explained so clearly and vividly, so eloquently in this Holy book that many Hindus like myself were able to properly understand the Gyana received from our Satguru and accept it whole heartedly.
It was possible only because Arjuna had asked some valid and intelligent questions from his Guru.
Most Upanishads and some parts of the Guru Granth Sahib are also written in the form of questions and answers.
One of the most important and fundamental questions about the life was asked and answered by the Guru in the Japuji Sahib:
"किव सचिआरा होइयै - किव कूड़ै तुटै पाल "
"Kiv Sachiaara Hoyiae, Kiv Koodhai tute paal"
(How can we become truthful, break the veil of ‘unreal’ and live a life of 'truthfulness'?)
And the Guru replied:
"हुकम रजाई चलणा नानक लिखिआ नाल "
"Hukam Rajaayi Chalnaa Nanak Likheaa Naal"
(Nanak says live your life with the flow of the ‘Highest Order’)
.... by accepting everything and surrendering.
How would have we gotten such a simple and profound answer to this complex question
if no one had asked it?