There's no challenge if there's no way to get a bad end. A good game will make people think about their actions; it's not fun if you can't lose.
(however like Papillion said, it can be frustrating if you over do it.)
The most important things are to make sure your bad endings are relevant to the story and also so that it's not too easy to figure out what's a good choice and a bad choice. For example, a bad example would be these two choices: "Be a jerk to him" (Bad ending choice) "Be nice to him" (good ending choice)
A better set of choices would be something related to the character(s), such as if you can give a gift to a character. The player will have to think about what they know about the character before choosing a gift. Let's say early on in the story the character "Bishie-kun" mentions he likes strawberry cake, but he hates pie. The choices might be "Make Bishie-kun a chocolate cake", "Make Bishie-kun a strawberry cake", or "Make Bishie-kun a pie". Chocolate cake would be a neutral choice, strawberry cake would be the best choice and pie would be the worst choice. That's a very simple example, but, it should make the game more challenging if you mix up the choices like that.