I have a Pixel 7a on the latest version (Android 17, July 2026 build), and I'm able to turn this off. If you want to find it the long way, then tap through the following screens:
For iPhone users, you can set up a Shortcut that achieves similar results because many snatchers will instinctively try to turn off cellular:
+ When airplane mode is enabled
+ Lock the screen and require password
Locking the phone is the most important thing. Losing the physical device is a bummer but it can be replaced and restored. Allowing access to any apps or message history is the worst case scenario.