Cellulose is for the most part indigestible, but whether it's bad or not for it to go through your system is a debate.

Secondly, most foods with cellulose also have other nutrients that ARE digestible. I often see people say that broccoli is completely indigestible raw because of the cellulose. Well...the cellulose molecules are indigestible, but when you chew it you liberate plenty of juice with some digestible carbs, proteins and fats as well as vitamins, minerals, enzymes and water. Whether you'd be better off eating something without cellulose can be debated, but to say a food is completely indigestible because it contains fiber is wrong, it's the fiber that is indigestible.

I did hear that humans can digest a little cellulose in one of the intestines. Not anything to worry about, it's the action of some microorganism I believe, not adding significantly to the nutrients you can get.