The consequence relation itself doesn't prohibit free variables. For example the LK calculus by Gentzen is based on sequents of the form:
G |- D
Were G and D are lists of formulas, and these formulas need not be closed. In LK the deduction theorem even doesn't need any provisio, since there is an inference rule "right implication introduction" (called FES by Gentzen):
G, A |- B
----------- (=> R)
G |- A => B
Nevertheless there is often a tacit assumption that axioms are universally closed, so that axioms do not occupy some variable names.
But when closed axioms are used, this doesn't mean that in the course of a proof no open formulas might appear. A typical inference rule that breaks axioms open, in LK, is the "left forall introduction" rule (called AEA by Gentzen):
G, A[x/t] |- B
------------------- (forall L)
G, forall x A |- B