I have heard about this.
If you are blanketing your horse full time, the horse has not just stopped producing heat and is taking it all from the blanket, instead the blanket flattens the hairs on their back that stand up (they produce heat for horses w/out blankets) and don't allow the horse to produce heat in this way.
It is not bad to blanket your horse, but just don't let the horse go w/out a blanket until it is warmer because the hairs become unresponsive when blanket is on for a long period of time
I heard if you blanket your horse he may not get thicker coat I know they said coats keep hair compresed and the hair wont work as well for insulating. And you should groom horse more often if you are going to blanket them durning winter.
I think it all depends on the horse and the climate.. My horse has been blanketed for as long as I've had him and he still gets his thick winter coat.. without fail. (And he's not under-blanketed either.. He'll get two blankets and a hood if its really cold!)
But he doesn't get blanketed until the first few frosts in the fall or even later.. and he doesn't get his blanket put on when its in 40s or 50s, so he probably does need his winter coat anyway.
On the other hand, I've heard of horses who don't produce a winter coat if they are blanketed to early (and consequently should be blanketed all winter, but it doesn't make a difference regarding their health).. But I'm with everyone else in saying that nature takes care of our animals, so mama nature wouldn't let them "forget" how to produce body heat!
(maybe it was someone's excuse not to blanket their horse!?)
I have light-weight and medium blankets for all of my horses. I use the light-weight when it's 40 and below. When it gets to about 20 or below and stays there for a couple of days, I use the medium weight. My horses are even turned out in these as they are weather proof. You should take your blankets off and brush your horses every few days to make sure there are no rubbed spots along the withers, hips and shoulder/chest area.