Traditional human-in-the-loop-based annotation for time-series data like inertial data often requires access to alternate modalities like video or audio from the environment. These alternate sources provide the necessary information to the human annotator, as the raw numeric data is often too obfuscated even for an expert. However, this traditional approach has many concerns surrounding overall cost, efficiency, storage of additional modalities, time, scalability, and privacy. Interestingly, recent large language models (LLMs) are also trained with vast amounts of publicly available alphanumeric data, which allows them to comprehend and perform well on tasks beyond natural language processing. Naturally, this opens up a potential avenue to explore LLMs as virtual annotators where the LLMs will be directly provided the raw sensor data for annotation instead of relying on any alternate modality. Naturally, this could mitigate the problems of the traditional human-in-the-loop approach. Motivated by this observation, we perform a detailed study in this paper to assess whether the state-of-the-art (SOTA) LLMs can be used as virtual annotators for labeling time-series physical sensing data. To perform this in a principled manner, we segregate the study into two major phases. In the first phase, we investigate the challenges an LLM like GPT-4 faces in comprehending raw sensor data. Considering the observations from phase 1, in the next phase, we investigate the possibility of encoding the raw sensor data using SOTA SSL approaches and utilizing the projected time-series data to get annotations from the LLM. Detailed evaluation with four benchmark HAR datasets shows that SSL-based encoding and metric-based guidance allow the LLM to make more reasonable decisions and provide accurate annotations without requiring computationally expensive fine-tuning or sophisticated prompt engineering.