I believe your question arises from not understanding the distinction between breaching the terms of a contract and violating a national or state law.
A contract is an agreement between any two parties, such as you and the airline. If you violate some term of that contract, then you are in breach of contract. However, in western common law breach of contract is not illegal. It is a state of dispute between two parties which may be resolved in court, but does not have to be.
Laws are quite different in that they are unilaterally proclaimed by the government of a given territory over which that government exercises jurisdiction. Laws are enforced by police and potentially other security apparatus of the state, and in most countries a court is almost always involved in determining whether you have breached and law and what sanction (punishment) to apply.
Therefore, there are two very distinct branches of the law: civil, which deals with disagreements between civil parties, and criminal, which deals with violations of statute law.
Violating the terms of your ticket may lead to a disagreement between and the airline. However, I'm not aware of any country or state which makes it a crime not to complete a ticketed journey.
I would add that there is probably very little your airline can do if you chose not to complete your flight. In common law, the claimant must prove not only existence and breach of contract, but that they have suffered a quantifiable loss as a direct result of that breach. What loss has the airline suffered by you not completing your journey?
Assuming your actions did not cause the airline to suffer a loss, there may be no legal remedy available to them. Of course, that does not stop them from taking other measures, such as cancelling your return journey.