[jQuery] .load

I have a jquery script for my navigation that loads .html content in the Content div by clicking the links:

	var navhref = $('#nav li a').each(function(){
		var navhref = $(this).attr('href');

	$('#nav li a').click(function(){
                var navtoLoad = $(this).attr('href');
		$('#content').load(navtoLoad, function(){

Now, the content that is loaded is just html.
But if I rename the .html files to .php, .txt or even .lol , it just loads the page perfectly.
Is that normal? Is that a problem if I just leave it like .php, without having php code in it and without having a php server?