No, not at all. Hobbies are about leisure and wellbeing so why should I feel guilty?
I suppose there are some ethical aspects of keeping endangered lizards but I treat them very well and they live longer, also they are captively bred and so have no impact on the environment. That's about the only thing I can think of.
There's some aspect of waste management in creative hobbies. I was thinking about the resources that go into manufacturing successive games consoles the other day. I think it's about creating offsets rather than giving up things but perhaps I'm spoilt by society.