My experience is that rigs are much more robust than popular myth seems to claim.
I've transmitted any number of times without an antenna connected, or with shorted
or open coax, over the years, and haven't blown a final (tube or transistor) from it.
But that doesn't mean it is a good habit to develop!
Most modern solid state rigs have protection circuits built in. With tube rigs the plate
current meter would show that something is wrong when you go to dip it.
It seems that the most common cause of final failure is overheating. I've only blown
2 finals in 40+ years as a ham: one was a 2m FM rig under the seat of my car where
the heater vent blew on the heatsink, and the other was a QRP rig when I tried to see
how much output power I could get from a TO-18 transistor. (OK, perhaps drawing
100mA through a 50mA transistor had something to do with it, too.)
But even when a disconnected antenna causes high dissipation in the final, that won't
cause damage until it continues long enough for the temperature to rise. With a small
transistor that can happen pretty quickly, but in most cases it is the excessive dissipation
over an extended time that causes problems.
This doesn't mean that it is good practice, of course, but generally brief lapses of attention
such as that don't cause permanent damage as long as they don't go on for too long.