Is it wrong to go on interviews, while you’re happily employed?

I got this crazy idea from a friend who tries out a new company every year for an interview; just to test his skills, if they are current; and if his market value, you know the amount he is getting paid, is current or not; those sort of things.

However I have some moral reservations about this. What is your opinion on this, especially doing it while you are happily employed, and without the knowledge of your manger?