Keep in mind that even without a SIM, the GSM radio is still active[1]. From my GSM-layman perspective, it sounds safer than being in a "trusted" pairing with the network, yet since it's all closed source, you have to wonder if there are magic packets that can own your device just as badly as if you have a SIM in.

[1] https://security.stackexchange.com/questions/30876/can-andro...