Since EP3 it's possible to follow a user into a dungeon.
There is one hint you can see if a invisible GM is around you: Hit the key to select next target (middle mouse button) multiple times. You can read it's name if you're lucky.
But in most of the time this will be too late, when doing AoE or standing in a wall.
If you're fit with scripts you can scan for objects with names like this "[??]*" and disconnect, but If a GM follows you into a dungeon he already has your ID.