Depends on the rock in question.
Sometimes it changes the colour (i.e. darker or lighter), it can affect clarity in certain gems.. All depends on what kind of gem you've got.
As for changing value... That also depends on the gem.
For example I'd rather pay more for a good not treated Sapphire then for a good treated sapphire.
Although Sapphires are routinely heat treated to change colour, remove silk and so on.
However generally speaking, no it does not affect value. In some cases like Tanzanite it actually improves value by giving the Tanzanite its blue colour. "Natural" Tanzanite (not heated, neither by nature nor man) is of a brownish colour.
What kind of rock are you thinking about specifically?
Some gems do not respond to heat treatment at all. Like some tourmaline (green, Elbaite) does not react to heat treatment.
Though some green tourmaline from Africa does actually get a lighter green colour. (Chrome Tourmaline)