Yes. It would be like trying to harvest energy from vibrating sound waves, whilst using a sensitive microphone that requires orders of energy more to function.
With sound waves you could use a really super thin piece of metal that vibrates to sound itself, in which you could harvest sound energy. But gravitational waves? I don't know how easy that would be.
Maybe a super long and rigid cable, positioned thousands of kilometers apart that bends ever so slightly to changes in their anchors.... though I'm sure any energy harvested from that would have gravitational waves as their least contributing factor.