If dark energy interacts with dark matter, this gives a new approach to the coincidence problem. But interacting dark energy models can suffer from pathologies. We consider the case where the dark energy is modelled as a fluid with constant equation of state parameter w. Non-interacting constant-w models are well behaved in the background and in the perturbed universe. But the combination of constant w and a simple interaction with dark matter leads to an instability in the dark sector perturbations at early times: the curvature perturbation blows up on super-Hubble scales. Our results underline how important it is to carefully analyse the relativistic perturbations when considering models of coupled dark energy. The instability that we find has been missed in some previous work where the perturbations were not consistently treated. The unstable mode dominates even if adiabatic initial conditions are used. The instability also arises regardless of how weak the coupling is. This non-adiabatic instability is different from previously discovered adiabatic instabilities on small scales in the strong-coupling regime.