If you actually unplug your computer and try to load Steam, it should try to connect for a bit, and then come up with an error message asking you if you want to try again or work in offline mode.
If that is not the case, then there may be a checkbox somewhere in the preferences that requires the software to prompt for offline mode if disconnected. I've been using it for years and, in the beginning, it was as described. But they changed around 2007 after some notorious Seattle area internet meltdown (may have just been Valve, but I seem to recall it was out of Valve's control). After that, Steam created an offline mode.
http://support.steampowered.com/kb_a...3160-AGCB-2555