If used properly, NO. I've used Claybar on my cars for a few years and never have a problem with scratches so long as you keep the claybar clean. This was a discussion about this not too long ago,
Claybar, and I posted pics of my car and the process I follow to get it to shine. The process was actually developed by another member and I found it here on the forums. Clay is just one step. I can't emphasize that a thorough washing is needed before Clay. Get rid of any visible dirt, crap, etc. It's very important to keep the clay and surface well-lubricated.
If you're going to Silo Ridge this weekend, I'll show you the car and the process. The only mistake I made...I put way too much wax on the car, about 25 coats. The day of the Hamptons cruise, the wax melted!!!