If you have the speaker unplugged, the load is now nearly infinite ohms. That gets multiplied by the transformer to an even higher number of ohms (hundreds of thousands or even millions) that the tubes are trying to work against. The result of this is that instead of making hundreds of volts, the tubes now try to make thousands of even tens of thousands of volts. That much voltage can destroy the insulation in your output transformer, and can cause tubes to arc and self destruct.
@cavscout19d Just so you know, this statement is false on account of the fact it violates Kirchhoff's Law. That very high Voltage has to come from somewhere; to do that with an inductor you would charge the inductor with a current and then disconnect the source of the current. As the magnetic field collapses, a very high Voltage can be generated. This is not the situation in a properly functioning tube amp with no load.
If the tube amp has no load, its perfectly fine (unless unstable, which is a different issue) so long as no signal is applied to the input. Since there is little or no load on the output, there is a very high impedance that the power tubes are driving, which is to say they can't make a lot of power.
The Dynaco ST70 manual states that its fine in this condition so long as no signal is applied to the amp. Our OTLs are also fine in this state. I don't think I've very seen more than one or two tube amps where this was a problem, with the exception of an amp I worked on that was capable of oscillation with no load, keeping in mind I've worked on hundreds of tube amps over the last 50 years.