Which tyres are you using? If you are using tubeless tyres (e.g. Hutchison Fusion or Schwalbe One) then they will usually seal without sealant when you install them (but don't leave them that way...). If you are not using tubeless tyres, then they will have too many holes in the sidewalls to seal without sealant.
You will need to put sealant in to seal the last few gaps on the rim and pin-prick holes in the sidewalls. The easiest way to do that is to remove the valve core (assuming you have good quality valves with removable cores?) and then use a syringe or very steady hand to pour the sealant in through the valve.
Also, using non-tubeless tyres on a road bike - even if it has tubeless wheels like your Ultegra 6800 - is a bad idea. Please don't do it. There is a good chance of having a tyre burp all it's air out while you are corning, causing a rapid involuntary dismount.