Not necessarily. OK, most homeopathy's just water (or sugar pills), but if a non-self-limiting disease goes untreated because someone is relying on homeopathy then, yes, this 'remedy' could be said to have side effects.
Similarly, using powdered rhinoceros horn – prescribed as an oral dose in Traditional Chinese Medicine – is unlikely to have side effects on the dosed individual; after all, we can't digest keratin. Which makes this quote, from a post at visiblefriends.net, all the more poignant as it focuses attention on the wider impacts of magical thinking:
A common defense of Alternative Medicines is that they are side effect free. While the consumption of a tea made from a small piece of powdered rhinoceros horn may be as harmless and ineffective as biting your own fingernails, the side effects are far reaching and will be obvious for future generations who only know the rhinoceros from plaster molds along side those of dinosaurs in museums.