If you disconnect (or connect) a component to your amp while the amp is on you can cause a 'pop' which could blow out a driver, usually a tweeter, in your speakers. This is especially true with an amp to pre-amp connection with separates (which you do not have).
Now if you want to risk this happening connecting/disconnecting source components you can, just turn the input selector to an unused input, not the one you are going to connect, then turn the component on. Minimal risk I think, but do not connect it if the source component is turned on and connected to the imput you plan to use for it.
FWIW making changes and not turning off the power amp once cost me the woofers and crossovers in an expensive set of speakers about 25 years ago. It hasn't happened since! :-)