Lots of people eat pecans raw so you should not have any problems at all with doing this. It will be important to make sure that you wash off the pecans that you get from the store though, because you will not want to ingest any potentially harmful chemicals which may still be on them from the growing process.
While some people choose to roast or toast their pecans and other types of nuts, others prefer to eat them right out of the can or bag. The way in which you choose to eat your pecans will depend on what your own personal preference is. Eating them raw will definitely guarantee that you get more nutritional value from them, so you will need to make sure to do so if you want to get all of the vitamins and minerals that are in these nuts.