Thats possible. The transfer could be disengaged but the axle may still be in the 4WD position and will not hurt anything other than maybe a little fuel mileage. I know the newer trucks have a solid axle without the disconnect. Some even go as far as eliminating the axle coupler all together so that it can't fail when you need it most.
It's easy to find though, follow the wires on the front axle. They connect to the switch that turns on the dash light. The coupler is moved with the vacuum lines.