I'm in the same situation, me and my boyfriend have no mutual friends and I wish we did actually. It's made worse by the fact we've got a 6 year age gap.
I think it works fine. As long as you're happy just spending time together alone, it's okay.
Maybe try and just bring one in at a time? I brought him home to my family quite early on and he gets on well with my sister who's 1 year older than me. He then offered to set her up with his best friend and they ended up dating for a little while, and even though that didn't last we've kind of managed to become an infrequent foursome.
I'd say it works fine without as we only hang out with them once every so often (and we're less mutual friends as a friend from either side we get on with), but it might be worth trying to introduce just one or two as it can be quite nice to have some other company.