I heard it is dangerous to pick your nose. Is this true?

Yes. This will increase your risk of bleeding and infections of the nose and septum. There are a lot of bacteria trapped under the fingernails. Breaking the lining to the nose could "innoculate" the tissue and be a set-up for a bad infection. Clean your nose in a moist environment like when you shower.
It can be. . Picking your nose can cause a break in the membranes inside the nose and lead to an infection. Picking can also cause nosebleeds.