The whole process of a microwave oven is technically similar to transmission and reception of any other electromagnetic wave. You need a transmitter, say the source of microwave inside the oven, and a receiver, typically some food with moisture or fat content. The receiver acts as a matching impedance to the ambient microwave. If you remove the destination (of matching impedance), then the microwave transmission does not flow into a target. Most of the actual radiation does not even leave the electronic circuits. That is why you could eventually fry a transmitter of any frequency if antenna connection is removed for a long period.