I believe that it is technically possible to create a software for S60 phones that does that. Especially after reading all of this here:
25. März 2004 13:24 !! : http://www.xonio.com/news/news_11704413.html
Tracking the location via GSM-cell-ID is already possible but it is not that accurate. (Localisation in cities up to 50m close - in rural areas something between 100m and 30.000m.)
Keep in mind - the GPS function in your N95 receives satellite-signals only, it can not send anything to satellites. However, it should be possible to compile a software which starts when the SIM card is being changed. It should then try to get a sat-fix, save the (thief's) current location and send the geo-tags via sms to another phone number or to an email-address. The new and soon to be released firmware (12.0.013) seems to improve the sat-fix and it should be possible to get a sat-fix with the slider closed. With A-GPS enabled you will even get the location indoors if you are close to a window. Thoughts?