No, of course it isn't morally wrong. I mean we have all done it at some point whether it is wishing we had a new car, a better life etc.
I used to get these thoughts a lot before, I started moaning about my life, looking at what other people had and wishing I had it too. I was making comparisons which were pulling me down.
But then, I started to think about all the things that I do have such as a roof over my head, warmth, clothing, food and water. These basic essential things that we all need that many people don't have because they live in poverty.
Last week, I was laying in bed, and I was thinking just how uncomfortable my mattress was and wondering how good it would be to have much more money so that I could buy a new one, a comfier one. However, I then thought about all those other people who don't even have a bed to sleep in. Men, women, children who have to sleep on the dirty ground whether under a roof or plainly outside, who are vulnerable to danger and who barely have anything to eat! So I thank God for having shelter, a bed to lie in each night, food on the table to eat, so that I am able survive and live a reasonable life, that many people in poverty only dream of.
So, what I'm saying is that yes we can moan and have self pity. But to a certain extent.