It's just one of those failsafes that the TH has. To help prevent it from drifting away over the horizon should you lose control link while the GPS is off.
If you lose control link with GPS off it should return to the last known position of the controller registered before GPS is switched off and hover until control is re-established or land once the battery has reached a certain low level state. Indeed, it should act in exactly the same way as if GPS is switched on if you lose control signal. I do recommend, though, that one should not use this function without cause. It is a failsafe to be relied upon in emergency only...but be assured that it does work.
Note that I believe it takes a few seconds for this function to kick in. So if it is drifting at the time it loses control signal it could still fly into a tree if you are a bit close to the trees.