This is a myth. You will find NO evidence of this.
But-- Oils should never reach their smoke point. (roughly 400 degrees) And you need to take into consideration the oil extraction method used in the oil you choose. (i.e. Buy 'cold pressed' olive oil)
This is from a blog: http://strangeeatinghabits.blogspot.com/2008/09/myth-cook...
"A friend of mine was recently over at my house while I was preparing some veggies for the grill. "What kind of oil do you use to cook with?" he asked, "olive oil? cooking olive oil makes it carcinogenic." He then proceeded to suggest that canola oil is the way to go. Hmm...
It seemed strange that what is usually touted as the healthiest of all the cooking oils, with all its antioxidants, should turn out to be the O. that will give you cancer if you cook with it. So I did some looking around on the web, to see what kind of study this came from, to see if perhaps something was being misconstrued.
Turns out there's no study to find. The O. and only source of the myth: Sheryl Crow, and specifically breast cancer prevention advice she attributes to her nutritionist.
To the contrary, I found numerous cited studies that claim the opposite.
A diet high in monounsaturated fats (such as olive oil) is correlated to lower incidences of cancers. In the Mediterranean, where due to extensive use of olive oil in "cooking and as a salad oil" fat intake is higher than in the states, incidence of breast cancer is 50% lower than here in the states (NY Times).
O. thing to avoid though, is reaching the "smoke point," which is probably between 340-375 degrees Fahrenheit. So it's not an oil to use for deep frying, which probably isn't what the health-conscious cooker is doing in the first place. Sweating and sautéing with olive oil should be fine though. Keep in mind though, that high heat and prolonged heat can degrade the nutritional value of many of the foods you eat.
Many types of oils are extracted from seeds through the use of chemical solvents and heat. Also, the mechanical process of extracting the oils itself can create a tremendous amount of heat. The resulting oils are obviously not as good quality, as the heat degrades the flavor and nutritional value of the oil. I recommend organic, "extra virgin" olive oil. "Virgin" means the oil was produced by the use of physical means without chemical treatment or solvents. Extra-virgin olive oils are cold pressed, meaning that they never exceeded 80.6 degrees Fahrenheit during the mechanical extraction process, ensuring a full flavor and intact nutritional content. And "organic" ensures that your oil is not contaminated by pesticides and other contaminants of modern conventional farming, in addition to being better for the environment. "