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Using someone else's connection without their permission could be seen as theft.
I recall helping someone with computer troubles a year or two back, and discovering that not only did they have malware on their computer, they'd been using their neighbour's wifi without permission. Not only that, the neighbour's monthly data allowance had been exceeded which could have turned out to be expensive for the neighbour if they'd been on a plan which charges for excess use. The neighbour wasn't too impressed when I let them know.
Aside from the valid security issues that jimlynch mentioned, ask your friend how he would feel if the cops send a SWAT unit to knock down his door and throw a few flashbangs in his living room. It happened just this week when cops in Indiana reacted to posts made by someone using an unsecured network, so they sent in a SWAT team on the house with that network.
What's worse is that police don't always act with such restraint. They have tons of military grade gear, and are acquiring more and more in the name of "homeland security." In many cases police behave more like a paramilitary force than civilian law enforcement. So they yell, "Search Warrant!" and run in all jacked up on adrenaline, with military helmets, ski masks, body armor and AR15s locked and loaded.
And they can shoot his dog:
Or shoot him:
I actually don't disagree with your friend, in principle. But as a practical matter, he could expose himself to all sorts of problems, even when he is in the right. Is it likely? No. Is it possible? Definitely. It happens.