This response is wrong both grammatically and semantically.
"Как дела?" literally means "How well are your deals?". So the answer should be about the deals. For example you can answer "Спасибо, мои дела идут хорошо." "Thanks, my deals are going well". When answering "Мне хорошо" you do not answer the asked question, because it refers to you rather than the deals. That's why the answer is grammatically incorrect.
It is also incorrect semantically because "Как дела?" refers to overall state of affairs of your life, while "Мне хорошо" means you feel pleasure just now. In fact your affairs can be bad but you still can feel pleasure currently.
So the proposed dialog looks like:
-How well are your affairs?
-I feel pleasure now.
Really there is no much meaning in it. It makes impression that you are a drug addict whose business is to feel pleasure.