I think you're right. I searched the SOPHOS forums and back in 2010 someone asked about it not being portable (thinking standalone and portable are similar). Their response was:

"Sophos Anti-Rootkit (SAR) is a "standalone" application in that it can be installed on its own without Sophos Anti-Virus, Sophos AutoUpdate or Sophos Remote Management System.

The tool has to be installed and run locally on the computer in "normal" mode Windows - i.e. not SafeMode etc..."

Unless things have changed I don't think it's portable.