A semiconductor device has a semiconductor die or component, including an IPD, disposed over an attach area of a penetrable film layer with a portion of the semiconductor die or component embedded in the penetrable film layer. A conductive layer is formed over a portion of the film layer within the attach area and over a portion of the film layer outside the attach area. An encapsulant is deposited over the film layer, conductive layer, and semiconductor die or component. The conductive layer extends outside the encapsulant. An insulating material can be disposed under the semiconductor die or component. A shielding layer is formed over the encapsulant. The shielding layer is electrically connected to the conductive layer. The penetrable film layer is removed. The semiconductor die or component disposed over the film layer and covered by the encapsulant and shielding layer form an SIP module without a substrate.