Why not? It’s a company device, if you don’t want your employer to access your network through it, don’t connect it to your network. You can hardly blame them for administering their own device.
If an employer expected me to use such a device I would assume that they would also pay for me to have a separate internet connection (this could easily be tethering to my work provided mobile data).
In the EU I would seriously doubt that your employer is allowed to do this.