The phone is completely open while connected to Wifi :-(
But, 'ufw' is shipped on the phone. You can open a terminal and do:
$ sudo ufw enable
XXX: not yet tested:
$ sudo ufw allow ssh/tcp
$ sudo ufw logging on
$ sudo ufw enable
$ sudo ufw status
Firewall loaded
Last updated: Sat Oct 17 13:09:43 CEST 2015