Glory to Rome: play a role, perform no action
In Glory to Rome, I find the general answer to "Can I do X?" questions is yes.  Your question follows that pattern, or else I'd be very surprised for this reason:

If you were forced to have a valid move at the time that you followed, then you could never really follow a legionnaire, because you might have your hand reduced to nothing but jacks, in which case you couldn't actually demand anything.