I've seen it suggested that cleaning a chain too often or too thoroughly is bad for it, in that it removes the lubricant from the innermost parts of the chain, where it's most needed and most difficult to replace. The KMC website in particular claims that using a bath-type chain cleaner will "instantly ruin" the chain.
On the other hand, Sheldon's article on chain maintenance doesn't mention this at all, but suggests that fresh lube is quite capable of penetrating through to the pins and inner surfaces of the rollers. This seems plausible to me: as long as any excess degreaser – and as much water as possible – is removed, I can't imagine any part of the chain's interior remaining unlubed.
Is there actually any evidence to suggest that "over-cleaning" is harmful to chains? And if so, how are you supposed to extract the gunk that accumulates in the chain, which presumably can be as harmful as too little lube?