If someone tries to use brew with sudo, a warning will show up:
1  | Error: Cowardly refusing to `sudo brew [option]`  | 
Well, you may continue to run it after use sudo -i, but you will laterly have many problems. While brew is running under root, it will change the ownership of folders like /usr/local/include to root. And later if you want to run commands like brew link, you will fail:
1  | Error: Could not symlink include/gdbm.h  | 
To recover this, you must change the ownership back:
1  | sudo chown -R $(whoami) /usr/local/include  | 
And remember: Do not try sudo brew the next time.