The player itself does not connect to internet but since the download links were removed I assume you downloaded the debugger from a third party website in which case I would advise against using it on any system connected to internet.
Overall McNair66 there is a security risk in using the debugger no matter how secure you believe the swf file to be hence I would recommend against using it on your main system. Use a virtual machine disconnected from internet if you wish to play the file as that would be far secure than running the file on a debugger on your main machine connected to internet.