1. Ethernet cable had to be unplugged.
2. Open cmd with Shift + F10 and type OOBE\BYPASSNRO.
3. Your computer will restart and now you will have the "I don't have Internet" option.
SOURCE: https://answers.microsoft.com/en-us/insider/forum/all/how-to-set-up-windows-11-without-a-internet/4fc44554-b416-4ecb-8961-6f79fd55ae0f