IPhone – Using iPhone as iPod touch

This is, unfortunately, expected behavior. Whenever you activate an iPhone (which you do as part of an OS install) it talks to Apple's servers and does various things like exchange crypto certs for APNS, etc. It also checks the IMEI of the phone to see what carrier Apple sold it to, and validates the SIM is valid for that carrier (if you buy an unlocked iPhone in a country where you can buy either locked or unlocked phones the vendor will actually copy down the IMEI number of a normal locked phone, and then enter in their system where it gets pushed to Apple's servers as an unlocked phone, there is no physical or configuration difference on the phones).

The easiest way to get it activated is (as you surmised) to use an AT&T SIM. You mentioned you have an iPhone 4, you can activate it with that SIM. There are plenty of companies that sell microSIM to SIM adapters, but if you want to do it right now you can just place the micro SIM directly in the iPhones 3GS's SIM try with tape. I would not recommend doing this on a device you intend to keep the SIM in for a an extended period because the SIM is likely to come loose (and jam the SIM tray), but if you are just inserting it, activating it, and removing it you should be fine so long as you are pretty careful with how you apply the tape and not shaking the phone too much.

There is an Apple support document on how to do this. You don't need to keep a sim in the phone but you need to put one into it to activate it before taking it back out.

Here's the procedure for 3G and 3GS:

You can use any SIM card associated with the carrier that your device supports to activate the phone. Simply place a SIM card from the last carrier with which you used your iPhone into the device, and activate it. Then remove the SIM card. You can now use the iPhone 3G or iPhone 3GS as you would an iPod touch (Wi-Fi only, no cellular service).

Note: You can use the activated SIM card from your new iPhone to do this.

To re-activate an iPhone 3G or iPhone 3GS that displays the "Connect to iTunes" screen:

1. Insert a SIM card from the carrier with which you used your phone. Note: If you are using the same carrier, you can use the activated SIM card from your new device to do this. If your device is unlocked by your carrier, you can use any SIM card.
2. Connect the iPhone 3G or iPhone 3GS to iTunes on a computer connected to the Internet. iTunes will then activate the device. You can remove the SIM card at this point and use the iPhone as if it were an iPod touch.