PHB pg 272, "When you use a melee attack or a ranged attack, you can target a square instead of an enemy".
If the teleport was contingent on a hit, then he couldn't do this, but as its an effect, I think he'd be able to. He'd look pretty stupid doing it, tho !
Party: "What the hell are you doing, there's nothing here!"
Swordmage: "This is the only way I learned how to teleport."
I'm with this guy, for two reasons.
1) If an effect doesn't require a hit it should be obtainable without an attack imo. Attacking 'the air' is enough for me. I may insist the player's character does indeed 'attack the air', shooting off a blast or swinging his sword, or etc as that is part of the components of how he induces the effect (and allows monsters to see/hear his actions/the bolt of energy, and he may have to use a minor action to draw his sword etc - which could trigger an alarm geared to detect 'attackers').
2) Nothing wrong, imo, with pulling cool tricks/using tricks oddly, as long as the DM is ready to go "OK, now you are taking the piss" if players push it too far.
3) If the following can happen in a fight, I would allow it out-of-combat:
Character is fighting an invisable monster (who happens to have used Ghost Sound to cover his escape). Not knowing which noise is real the player plans to target the first noise (or the square it was in) then teleport to target the other noise. The character chose wrong, swung at empty air, teleported and then swung at, and hit, the target.
If as a DM I would allow this (which the rules indicate I should - as it is an attack power trying to attack) I would allow the same even if the player knows the first square is empty.
For those who dislike this use of attack powers out of combat I have the following question:
What if the power is used in combat but initially targets air?
i.e. The swordmage is 10 squares from his target, he moves 6 squares, attacks air, teleports to the target and attacks it, would you allow this?
(I would DM this as the player charging heroically forward, cutting through space-time with his first swing and diving through the rift to attack the target at the other end)