Depends on the car and whether or not you can even get to that modem connection without tearing apart the interior. The main problem is if it’s linked to the main computer (ECU), or similar. If it is, your vehicle may be undrivable. It’s better to talk to the company who made your car and have them disable it. You may have to have a lawyer do so. If you’re buying a new car it is certainly possible to disagree to those terms that would activate it. But apparently not possible to have them build the car without it (which I think is bogus as hell). There was a big article about this after an investigation by Mozilla more than a year ago. People on reddit (I know !) were pretty mad about it then and they were looking for solutions. The consensus was that some cars you can get to the modem, some cars you can’t.

Also, you may not be able to receive necessary software updates (recalls etc) if you do disable it.