From what I've heard, it can affect your future job prospects, yes. I've heard of some companies in Japan that would try to find out which company you're trying to leave them for in order to lower the likelihood you'd get hired there if you don't leave them "the right way". But I don't have any personal experience in this and I haven't talked about it much with the people I know in Japan, so this is just hearsay you should take with a grain of salt.