Hmmm I am curious to check this as it used to work. I am going to unplug my cable and try to play single-player. I will report back in a few min.
EDIT: It does work for me with no internet:
EDIT2:
2nd test, unplugged inet cable, exit steam, try to play - not possible
3rd test, unplugged inet cable, log in steam with no internet (steam starts in offline mode due to no internet), started conan - no issues playing single-player
So as long as you are logged in steam and own conan exiles, you should be able to play single-player without internet, at least I can.