I recognize that the second half of the headline might make this seem like a golf tip, but no. The last bit of the iFixit teardown shows you where you can “safely” drill a hole to attach a lanyard or keyring to your AirTag without buying some sort of case.
The risk is relatively low if you are handy with a drill, and this is a fun little experiment to try if you are willing to possibly brick your AirTag. And no doubt you’ll be voiding any warranty.
I will definitely be doing this when mine arrives.