No offense, but buying a one-way ticket and not having luggage shouldn't get quite the reaction you are speaking of. I usually avoid checking luggage, instead keeping to the minimum needed in my carryon. And there are times when one needs a one-way ticket.
For example, I had two interviews in two different cities. Each company bought me round trip tickets, but I couldn't get from one to the other in time without buying a one way in the middle, and forfiting half of the "free" round trips. Another example will be when I move, I will need to drive my car to my new place, fly "home" one way, and drive the second car to my new place. I won't need luggage at all in that case. Third example; one-day business trip (no luggage) + missed return flight (change in plans) = one-way ticket with no luggage.
In example one and three someone will say, "why didn't you just change the flight instead of buying an additional one-way ticket?" The answer is that the airlines are now charging more for the change fee ( >$150) than the cost to buy another one-way ticket.
This brings me to another point, having to buy a round trip ticket to be "less suspicious" isn't going to deter a terrorist. If he is willing to die, why should he care if he spends an extra $140 doing it?