Yes, you are misusing your meter and subjecting it and your arduino to damage. Current measurements are always made with the meter's current leads in series with an existing circuit, never in parallel. You meter leads when in the current mode are a portable short circuit waiting to cause much damage and drama if not properly in series with an exiting circuit. Voltage on the other hand is measured in parallel across components or power supplies + and - terminals and as the meter in voltage mode is a very high input impedance can cause no harm.
So you need to study and understand the differences in series and parallel circuits.
Lefty