Are you asking if Python will raise an error if you fail to close a file? Then the answer is "no".
If you are asking if you might lose data, the answer is "yes".
By analogy, will the cops write you a ticket if you leave your keys in the ignition? No.
Does this practice increase the odds that you will "lose" your car? Yes.
Edit:
Ok, you asked for an example, not smart-aleck comments. Here is an example, although a bit contrived because it's easier to do this than investigate buffer-size corner cases.
Good:
fh = open("erase_me.txt", "w")
fh.write("Hello there!")
fh.close()
# Writes "Hello there!" to 'erase_me.txt'
# tcsh-13: cat erase_me.txt
# Hello there!tcsh-14:
Bad:
import os
fh = open("erase_me.txt", "w")
fh.write("Hello there!")
# Whoops! Something bad happened and my program bombed!
os._exit(1)
fh.close()
# tcsh-19: cat erase_me.txt
# tcsh-20: ll erase_me.txt
# -rw-r--r-- 1 me us 0 Jul 17 15:41 erase_me.txt
# (Notice file length = 0)