I used to have armadillos run across my back yard in my apartment last year. I had no idea we had those in Tennessee. My dog wanted to go after it, but I have no idea how that would turn out.
I wouldn't think so either, the only thing I would be afraid of is him getting cut and getting some sort of infection. I have no idea if they can carry rabies. They do have some nasty looking claws. I am honestly more afraid of a raccoon, opossum, skunk, or fox. In the right circumstance those things can be nasty.
Wtf, your dog doesn't have a rabies shot? You gotta let them go wild on stuff now and then. He would of loved messing with an armadillo! Hell, I'd enjoy it!