The cable guy was right. It should be connected to a water pipe if anything. If it's part of your house's grounding system, then there are more specific requirements as to where it's connected (but never
to a gas pipe, by code).
What does that wire connect to? Is it part of the electrical system, or phone, cable, etc?
I don't know that it would cause the house to explode.. There's not enough gas in the pipes in your house to cause a huge explosion, but I suppose it could start a fire. Probably not.
My concern would be that if it's a copper grounding clamp (or copper anything) on steel gas piping, you could get galvanic corrosion
of your gas pipe, and then a gas leak.