Or anywhere on the theme?
My gut reaction is no. Definitely no if you paid money for the theme. While I don’t begrudge a designer who is trying to get a little extra SEO benefit, or any other type of advertising, from a text link in the footer, or sidebar or whatever, I think the site owner is 100% within their rights to remove that text link.
That said, if you agreed to leave the text links as a condition of getting the theme, then I think it’s dishonest to remove it. If that wasn’t part of the deal, as is the case with many free themes, you shouldn’t feel guilty removing it.
There are plenty of linkbuilding companies out there who create free themes with those footer links as a way to build links for their clients.
Links are the currency of the web.