It all depends on what you're supposed to be protected from. Vpns protect your Communications from being intercepted and keeps your location anonymous.
So you are in fact unprotected from being located identified and tracked. You are also unprotected from having your Communications intercepted by a man in the middle.
If you're on a public unsecured Wi-Fi network you are totally exposed. If you are on your own router connected through an isp, the ISP knows everything you're doing, and attaches your billing information to that data and uses it.
So I really don't think unprotected is a scare word. It is an accurate description of your situation.