Most vehicles have a PCV system that sucks a small amount of fresh metered air through the crank case to ventilate combustion gasses that have got past the piston rings. The fumes are then pulled into the inlet manifold and burned in the cylinders.
If you leave the dipstick out, some unmetered air can then be pulled in. This would be an issue with a petrol/gas engine since the fuel/air needs to be correctly metered. A diesel however is a lean burn engine, so this shouldn’t be an issue.
Air being sucked in will be bypassing the air filter and any dirt/dust will end up in your engine oil, so that is something to consider.
I would also be surprised if the oil that will be splashing around in the crank case doesn’t find its way out of the hole where the dipstick tube was fitted.