As long as they are not lactose intolerant it will not do them any harm. It will also not, as an aside, do them any good, becuase there is little nutritional value in milk for cats.
Unfortunately, many cats are lactose intolerant and will develop diarrhea. Cats often lack the enzyme that is required to break down the sugar in milk and this can cause them to develop vomiting, diarrhea and other gastrointestinal symptoms.
Many people suggest alternative "cat Milk" available from most pet food vendors. However, one of mine drinks fresh milk and loves it. It does not cause her any bother, and as long as there is also fresh, clean water always available, I don't believe there is any real harm, as long as it is a treat and not a staple diet.