No it will not hurt anything, as far as the router goes. It retains its settings and will just boot up when power is reconnected. Anything that requires the router during that time will simply not be able to use it (i.e. any other connected devices).
While I agree that it won't hurt the router, your router may have a schedule configuration to allow him to only connect during specific time periods. That would be easier and more foolproof (thinking he sneaks up and plugs it in and later unplugs) since you would set a good password on the router to keep him out. Most newer wireless routers at least allow you to schedule times for the wireless radio to shut down on a schedule.