I've done this deliberately on cold mornings to warm the car up without the key in it. Just hold the key so its not quite in, start the car and pull the key out. There is then no need to put the key back in when you drive off unless I guess you stall the car. That's the only risk I can see. You won't loose power, brakes, steering etc.er... I wouldnt want to say there is "no" risk but I know the first thing I did when it lept out was dash onto the hard shoulder and replace it back it were it came from. Didn't fancy loosing power steering and revs at 70mph!