Board Thread:Skyrim/@comment-124.184.73.75-20140111003957/@comment-24261859-20140112020639

If you did not give him any items, you will not have any gear at all whilst inside the embassy. They will let you in regardless of what you give the elf (since Delphine takes all the rest of your gear, you have nothing except fancy clothes at the beginning of the quest) but when Malborn tells you to get your stuff from the chest after sneaking away, there will be nothing  inside and you will have to do the rest of the quest with no gear. You can still use magic and anything you scavenge or loot from guards.