There are leave-in conditioners that don't require wet hair, you should use those instead of sleeping with wet hair. Constant humidity can produce all sorts of negative effects, you might start to notice frizz or breakage as wet hair is at its most fragile state and you'll be rubbing it against the pillow all night.
Plus, the moisture will seep into your pillow and that could bring colds and coughs later on. Moisture provides a great breeding ground for bacteria and fungi, and the constant dampness of the pillow may help these organisms to breed. Other problems, such as skin infections, may also develop if the bacteria and fungi in the pillow build up over time.
Sounds dramatic, yes. But humidity is bad anywhere so try to avoid sleeping with wet hair just in case.