Depends on your country. Usually it's the action of using it for specific things that are illegal, not just purchasing/owning it. But if you're caught breaking into an office with it, I'm sure many countries' courts would see that as additional tooling for the break in, for example.

Your country may be of relevance to the question, but in most countries owning or using a flipper or similar, provided you do not interfere with devices you do not own, will not cause issues.