While there are some things that probably should NOT be placed on the penis (such as hand sanitizer or other cleaning solutions), however you want to masturbate is totally your business! The only consequence you might have from not using anything to lubricate the penis is some chafing, which is basically skin irritation from rubbing (think of a mild rug burn on your penis). Lubricants allow your hands to move over the skin more easily and increase the pleasure for some people. But if this isn’t for you, that’s totally fine!