<p>I think the problem is when you are on the same plane with only one boarding pass or have a round trip ticket. Since boarding passes are scanned, if you have a connecting flight, you will have two boarding passes. If you do not get on the second plane, they will know because your boarding pass has not been scanned. If I recall correctly, your boarding pass also mentions (certainly their records do) whether you have checked baggage. So I don’t think it will be a security issue. Of course, if it is a round-trip ticket, your return portion will be cancelled. </p>
<p>I do think if you did this habitually, the airline might catch it, esp. nowadays.</p>