Unused Ethernet pins
In principle, the device should work damage free without anything connected.

But, since you can't be sure without direct input from Microchip or whatever SMSC is, just hook up resistors like on page 8 of this datasheet and leave out the inductor and other nodes that remain floating. Or, put differently: As Passerby comments all lines up to 3.3V with 50Ohm.

Unless you can obtain an app-note I failed to find explicitly saying otherwise, that seems to be the best idea.