1. Cancel any remaining portion of the passenger's itinerary,
2. Confiscate unused flight coupons,
3. Refuse to board the passenger or check the passenger's luggage, or
4. Assess the passenger for the reasonable remaining value of the ticket, which shall be no less than the difference between the fare actually paid and the lowest fare applicable to the passenger's actual itinerary"
Essentially, the airlines perform #1, #2, and #3 routinely for people who do throwaway ticketing. #4 is saved for egregious examples.
I utilized nested ticketing for much of the summer and fall on another airline. I was commuting to work and coming home on the weekends. At the time the original ticket was purchased, OW = RT price. So, I purchased a RT for the contract length and then a few days later I purchased some Fri/Sunday RTs on both AA and the other airline to deal with my commuting.
Did I "break the rules"? Yes. On the other hand, the other airline got a ticket sold that would have otherwise been on WN which sold competing fares where OW = 50% RT. And the other airline (and AA) got a ton of intervening business. Has anyone come after me??? No way. In fact, I got a letter from the competing airline trying to get me to fly more trying to "win" my business back.
OP... as a one-off, I wouldn't worry about it. Years ago, XXX-DEN-COS <<<< $$$ than XXX-DEN on UA and people routinely got off in DEN. AFAIK, UA only went after the travel agencies and never singled out any particular traveler. Others above have given you good reasons why you "left" the airport in the middle of an itinerary and I think if I was ever asked I'd stick to those answers.