Unless that other end of the rope is tied to something solid several feet in the ground, there will not be enough pressure for him to hurt himself. I'm guessing it's just in your hand? Be careful, wear gloves and be ready to let go so you don't get horrible rope burn if he does pull hard, which may happen in a tantrum. If you've got the strength to hold your end hard enough to even cause significant pressure for him to notice, I'd be surprised. Most humans are not strong enough to hurt a horse with a rope unless they're doing something like horse-tripping (roping the feet of a running horse and pulling them out from under them), and even then, most of the time there's no injury.
YOU be careful though- stubborn pushy horses can cause real injury to us puny humans all too easily.