Passing context to the execute method in command design pattern

Going through the Command design pattern I understand that we need to create a Command by setting the context via constructor and then calling the execute method to perform some action on the context. Example:

public class Command implements ICommand {

    Device device;

    public Command(Device device) {
        this.device = device;
    }

    public void execute() {
        this.device.turnOn()
    }
}

I was wondering that with this approach we will be required to create a new Command object for every device object we create. Will it be ok to pass the context and some parameters to the execute method? I am looking for something like:

public class Command implements ICommand {

    public void execute(Device device) {
        this.device.turnOn();
    }

}

Are there any issues with this approach?