You forgot to quote $f, so the filename probably got wordsplit due to whitespace in the filename. I also suggest using ./*.dvi as this avoid problems if a filename starts with a - (which will make most commands treat it as a set of options instead of a filename)

for f in ./*.dvi; do catdvi -e 1 -U "$f" > "${f%.dvi}.txt"; done

Or perhaps combine the two loops

for f in ./*.tex; do 

    base=${f%.tex};

    latex "$f" &&

    catdvi -e 1 -U "$base.dvi" > "$base.txt";

done