I guess it depends on what you're doing while listening to the dance music. Meaning, I think that there are certain kinds of dancing (like "freaking") that are inappropriate for Christians. The music itself is a different story. Did you have a particular song in mind?
This is the problem that I see. Music is great. It's a gift from God. Dancing is great. It's a gift from God. However, these things can be turned into things that are harmful for Christians who are trying to live Godly lives. So while I say that I like dancing (swing, salsa, ballroom, etc.), I do have a problem with some of the hip-hop, sexual, freak dancing. The same can be said of music. While I'm not going to say that a certain genre is wholly evil, I will say that there are certain songs that could be considered harmful for Christians. Like hip-hop - some of it's okay and there's even Christian hip-hop, but some of it's just so dirty that it's harmful to people. You just have to be careful and know what you're listening to and how it affects you.