It's fine to leave it plugged in. It only authenticates when you touch the button.
There might be reason to be paranoid.
There haven't been reports of any physical thefts occurring yet, but you could be making yourself a target if you do this.
The operating system knows if the device is plugged in. If your system is compromised, the attacker knows then that you leave your Yubikey plugged in. Also knowable is your IP address (and probably your physical address using some account you access), and probably known is your balance at the exchange, and your username/password there as well.
This makes a physical burglary to become more likely as doing so would likely be successful in acquiring the bitcoins.
If the attacker / thief doesn't know where your Yubikey might be (e.g., do you carry it with you on your person, or is it kept locked up, etc.) then a risky burglary is less likely to occur.
