There are two reasons dust can be considered harmful. For one, breathing in dust constantly can - just like breathing soot or smoke - cause direct damage to the lungs and air sacs of birds. A bird's respiratory system is very delicate, and inhaling just about anything but air can cause damage over time. The other issue is that many pathogens have spores that can reside in dust, and upon being inhaled, can result in serious health conditions.
Remember, while chicken coops tend to become dusty, a dusty environment is not the preferred or natural state of the chicken; they were domesticated from a species of a topical climate, and for much of their early domestication, the species roamed freely rather than being confined to a coop where concentrated digging behavior quickly results in dust. You can find examples in veterinary literature of health problems caused by dust, and while some dust in the coop is unavoidable, excessive dustiness should be controlled in some way to prevent health issues.
