It depends what kind of "wrong" we're talking about. It could be wrong as in illegal, or wrong as in harmful to the wild population. It could be wrong morally, ethically. If you're taking an adult frog who grew up wild and placing him in a cage, some people would consider that very wrong (and just as bad as buying from pet stores, maybe worse) some people would be fine with it if the population is thriving and you do a good job taking care of your frog (but can he really be happy in a cage?)
Personally, I'm against it there are always little guys out there who do really need good homes, you can put wanted ads online or ask your local SPCA or rescue center to call you when they get herps in.