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Some Anti-theft features are only available if an active SIM card is being used on the device. Those features include the buddies list, location services, and remote SMS commands. All other key Anti-theft features—locking the device, wiping user data after ten failed password-entry attempts (if that option had been enabled), showing a message on the lock screen—will be available.
More information about the "no SIM card" mode can be found in the documentation.