Contrary to the popular myth, nothing happens when you pull out a gray hair. Pulling out a gray hair does not make more gray hairs pop up in its place.
There is no harm in plucking out a gray hair, but plucking it out is only a temporary solution. As the hair follicle replaces the hair you pulled out, it will replace it with another gray hair. One hair follicle has no effect on neighboring hair follicles, so the myth that a few more grays will pop up to replace the one you pulled out is completely untrue.
As tempting as it may be to pluck out that gray hair, hair stylists advise against doing so. Repeated plucking can damage the hair follicle, eventually making it difficult to replace the hair you pulled out.