Of course. If it is a 'perfect' transformer (with no internal losses) with no load, then there is nowhere for power to be dissipated.
However, we're talking about voltage, not power. As I said, if (as when used as a CT) the transformer is not allowed to determine it's own primary current (derived directly from a constant-voltage source), the the voltage across the secondary can rise to very high levels if the secondary is totally unloaded, regardless of the transformer's turns ratio.
Kind Regards, John
