Grammatically it is OK, but you have a double negative, which should be avoided when possible. "I think there's nothing wrong that you didn't go to his party" or "I don't think there's anything wrong that you didn't go to his party" Both these versions would be a bit better. or "There's nothing wrong (with the fact) that you didn't go to his party" would be pretty good too.
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yutgoyunThere's nothing wrong (with the fact) that you didn't go to his partyI agree. (Though you may want to add back in the "I think" part.)