NO, it is not wrong to report an illegal person.
You can call the Immigration and Naturalization Service (INS) and make your report.
This is their website:
USCIS Home Page
This is their toll free number:
National Customer Service Center (NCSC) at 1-800-375-5283 (TTY 1-800-767-1833).
This toll-free call center has additional information and, during their specified office hours, can connect you to live assistance in English and Spanish.