I think your quote is from the movie. The version in the book is slightly different, and also contains the explanation (my emphasis):

>“You can’t have met many decent wizards,” said Harry, trying to cheer him up. 
>
>Dobby shook his head. Then, without warning, he leapt up and started banging his head furiously on the window, shouting, “*Bad* Dobby! *Bad* Dobby!” 
>
>“Don’t — what are you doing?” Harry hissed, springing up and pulling Dobby back onto the bed — Hedwig had woken up with a particularly loud screech and was beating her wings wildly against the bars of her cage. 
>
>**“Dobby had to punish himself, sir,” said the elf, who had gone slightly cross-eyed. “Dobby almost spoke ill of his family, sir....”**

Thus, the problem with what Dobby said (or in the book communicated nonverbally) is that it implicitly condemned the family that owned him, and/or nearly led to him explicitly condemning them.