This was something I learned many years ago, in school auto shop. All these years later, all I remember is there is a possibility of damaging the coils, so I did a quick Google and found this, which also brings up another good reason I had never thought of - risk of fire! This was copied and pasted as is.
"You need to understand something about an ignition coil: When it is time to fire, the voltage going to the spark plug rises very rapidly until it is high enough to jump the gap in the plug. As soon as it jumps the gap, all the energy is dissipated and it is all over till the next time. So what happens if there is no plug gap to jump? The voltage rises to as high as is possible with the system before it stops---OR jumps somewhere else. That somewhere else could be through the side of the coil. Once it arcs through the side of the coil, it is a junk coil.
In some cases, as the voltage collapses, it feeds back through the powerpack. That can cause damage too. I suppose that all depends on the design of the system. Maybe you will get away with it, maybe you won't.
There is another reason for grounding the leads. If they are near a grounded object, they can arc to it. When the motor is cranking, fuel is being pumped out the open plug holes. That, in the presence of the arcing can cause a fire. Believe me, I've been there and done that. Fire shot out about ten feet. Dang lucky I was standing to one side."
Reading that last paragraph makes me think that just leaving the plugs in the leads and grounding the plugs on the engine still leaves a chance that the spark at each plug could ignite those vapours too, so probably best to wire the leads to a ground so there is no spark at all.