When purchasing a ticket you enter into a contract with the airline. By not travelling on all legs you would be breaking the contract. This will no doubt be somewhere in the Ts and Cs which everybody tick-boxes but do not read!
Actually, this is not the case with all carriers. What is the case is that most Ts and Cs stipulate that if you break the sequence of travel then that will invalidate the ticket. If one skips the last sector it may invalidate the ticket only from that point on, which of course is of no consequence.