I had an interesting discussion recently about whether this was still supported or not; it definitely was in SQL 2012 but in SQL 2014 it wasn't so clear because there are two sources of Microsoft documentation that are in conflict.

Document 1: Supported Version and Edition Upgrades

SQL Server 2014 supports upgrade from the following versions of SQL Server:

  • SQL Server 2005 SP4 or later

The table below lists the supported upgrade scenarios from earlier versions of SQL Server to SQL Server 2014.

Upgrade from Supported upgrade path
SQL Server 2005 SP4 Standard SQL Server 2014 Standard

Any scenarios not specified in the list above are not supported, including but not limited to the following:

  • Installing SQL Server 2005 and SQL Server 2014 on same computer (side by side).

Document 2: Work with Multiple Versions and Instances of SQL Server

You can install SQL Server on a computer that is already running instances of an earlier SQL Server version. If a default instance already exists on the computer, SQL Server must be installed as a named instance.

The following table shows side-by-side support for SQL Server 2014:

Existing instance of SQL Server 2014 Side-by-side support
SQL Server 2014 (32-bit) SQL Server 2005 (32-bit) SQL Server 2005 (64-bit) x64
SQL Server 2014 (64-bit) x64 SQL Server 2005 (32-bit) SQL Server 2005 (64-bit) x64

The prelude text to that is about installing newer versions after older versions. But the heading "Existing instance of SQL Server 2014" seems to indicate the opposite: installing older versions of existing newer installs. But either way it indicates some kind of side-by-side install is a supported scenario.

Document 3: SQL Server 2014 Upgrade Technical Guide

I think this document is the tie-breaker as it repeatedly mentions SQL 2005 upgrades both in-place and side-by-side (too numerous to quote here). Also the reports from SQL Server Central are that they seem to co-exist side by side without issue.

I left a community note on Supported Version and Edition Upgrades requesting clarification anyway.