UPDATE: Konami has issued a Tweet indicating that the issue is, in fact, a bug. It has since been fixed. You can now play the game offline.
Kotaku points to the problem, noting that MGR will not run when Steam is in Offline Mode. Worse yet, if users lose their internet connection in mid-session, they'll wind up kicked out of the game.
One would assume this is some sort of always-online DRM, but Platinum's Creative Director, JP Kellams went on Twitter to disavow any knowledge of such a restriction. Replies have pointed to a potential bug within the Steam API, which could mean this is merely one terribly inconvenient bug.
Shacknews has reached out to Konami for further clarification.