It is all about supply and demand. You can see this very clearly with respect to business class fares.

This is an over-simplified example, but hopefully explains why/how fares can be more expensive from the US than Europe. Say there are 50 business class seats on a flight. Say an airline wants to price its seat at an average price of $5000 in the US, but they can only sell 25 seats at that price. That leaves 25 seats. The airline can't dramatically reduce the price of those 25 seats to get rid of them in the US, because then people in the US wouldn't want to pay the $5000 average price (let's ignore ticket restrictions, etc. for now, while keeping in mind that those restrictions are all part of a very complex supply/demand model). Now, the airline has 25 seats left to sell. It can sell them in Europe at a reduced priced (maybe an average price of $4000) without cannibalizing the sale of the same seats in the US.

Now, you are probably asking, "why not just sell all the seats at $4500 in the US?" Well, again, there may not be demand for all the seats at an average price of $4500 in the US. There may be demand for all the seats at an average price $4250. But if the airline prices the seats at an average price of $4250 in the US, it will make less money than if sells 25 seats at an average price of $5000 in the US, and 25 seats at an average price of $4000 in the EU.

If an airline could fill all 50 seats with $5000 fares, there would be no need for fare differentiation. But there are very few routes where an airline can sell all seats at one fairly consistent fare -- maybe certain TPAC routes.

So yes, if 25 people fly out then 25 people will probably fly back. So demand for those 25 seats is the same in both directions. But, there are still 25 seats that haven't been sold in either direction. A little complex, but if you think about it, the pricing does make sense.

EDIT TO ADD AN EXAMPLE:
I wanted to add an example. The first random route that came to mind was JFK-BRU/ BRU-JFK. Cheapest round-trip on DL starting at JFK in business for 4/4-4/10 (totally random dates I picked) is $4870.70. Leave from BRU, and the price is $3604.15.