It has an "autoconnect" option that will attempt to connect to open WiFi access points whenever the Prey cron job executes. Obviously that is not 100% reliable, since "open" APs could also be captive portals, but it does run even when no user is logged in, at least on OSX and Linux. Though that feature is turned off by default (perhaps because they have yet to get it working for Windows; that part's not clear).