It's a longstanding, and obviously false, rumor. It would be trivial to prove that these things connect to open wifi networks to phone home, but no one has ever proved that they do that, because they don't actually do that. It would be a little harder, but still very easy, to prove that they connect to cell networks, but no one has proved that they do that either, because they don't actually do that either.

Keeping them disconnected from wifi is sufficient.