Oh yes! It's a grey hat SEO technique and usually done by people as a way to get more link juice back to their blog. It's one of the laziest forms of link building.
I know that YOU specifically/ my regular audience only comment when it is something they resonate with, so don't worry ;)
Weighing the pros and cons though, I decided it was time to let the comment section on the blog go. Instead I go where my audience is and engage with them there. Far more beneficial, I find :)