This is old-school electronics theory. Power amplifiers are designed to drive very low impedance loads. For Hi-Fi's that would be speakers (8 ohms) and for radios it would be antennas (50 or 75 ohms). With the load disconnected the impedance is effectively infinite. This was a major problem for 1970's era valve ("tube" for our American readers
) or semiconductor amplifiers. Without the expected load to dissipate it the power had nowhere to go and was reflected back to the amplifier (or the output transformer). This usually meant it overheated and burnt out.
Now to be fair, that was a long time ago and I'd guess that modern power amplifiers have built-in protection circuits. But for people of a certain age
the mere thought of running any amplifier without a load brings back painful (and expensive) memories. In any case, whilst it's probably OK to run modern amplifiers without a load for a short time I wouldn't be comfortable leaving it like that permanently (unless the manual says so).