It's okay to pick your baby up when they cry but it is bad to pick the baby up every single time they cry.
When the baby is constantly picked up when they cry it will usually make the baby start crying more so that they'll get your attention all the time and want to be picked up.
Then they'll cry and cry and cry and never learn and develop properly.
When the baby is crying you should check on them and make sure they're not hungry, sick or in need of a diaper change and if they want to be held for awhile that's okay and you should pick the baby up sometimes and hold them.
But don't pick the baby up all the time and hold them because letting the baby cry it out is good for the babies development.