Fuel mixture is a sometimes delicate balance between fuel and air. Too much fuel compared to air, you get a rich mixture which burns a little cooler and can turn the pipes blue. Too much air, a hotter running engine and gold colored pipes.
That being said, sometimes when you change exhaust, you can increase the outgoing airflow capacity. If the intake side is capable of delivering more air than it was doing with stock exhaust, then you will be flowing more air than before with no increase in fuel delivery capacity. This situation can cause the bike to run lean.
Since Harley Davidson ships most of their motorcycles already running pretty lean, any increase in airflow without adjusting the fuel flow will typically cause the bike to run too lean, or too hot. Thus, the possibility of damage.
Many people believe that changing the exhaust alone does not necessitate the need to change the jetting. But, the best advice I've read on this forum is.......take full advantage of any upgrades you make. Therefore, if you change the exhaust to one which flows more air, then also you should open up the intake by installing a high flow breather and then re-jet the carb or re-calibrate the fuel injection.
Example: I ran my 2002 Wideglide for about a year and a half with SE mufflers and no other mods. It ran great, got great mileage, no complaints. I then changed to highflow air and re-jetted. It now runs even much better and I didn't suffer any lost of fuel efficiency. I wish I had done everything originally. | 
