Not really but you will not be in control of the vehicle and any braking you do will not be assisted by the natural braking of the engine when it is in gear.
Your brake pads will wear slightly faster and you risk glazing them over by keeping your foot on the brake.
Freewheeling with the car in neutral is not illegal - it is with the engine switched off (coasting) as there is no assistance from the brake servo unit.
As sarnieken says you wont have the decleration of the engine to help in slowing down but one advantage is that you save on clutch wear - but you do run the risk when going downhill by overheating your brakes (brake fade ) - then you will be stuck getting stopped.
Btw, it isn't illegal to drive with your engine off. There isnt such an offence. You would be found guilty of driving without due care and attention as you wouldn't have proper control of the vehicle.
It's not ilegal but, should your engine stall, your brakes will lose the assistance of the servo unit, resulting in a severe loss of stopping power.
Travelling at speed, you would have difficulty engaging gear to "Bump start", and should you attempt to restart with the key, don't forget you have to turn the key to the off position before you can restart. This poses the risk of engaging your steering lock.
Should this happen, you would not need insurance but an undertaker.
chadad.
So the upshot of it all is that you may think you're saving petrol freewheeling, but all things considered you may need new brakes, new car (if you crash) a solicitor or undertaker.