This is called "throw away ticketing" and it is technically against the terms of your contract with the airline. So long as you don't make a habit of it you won't have a problem. You'll forfeit the segment you do not fly (and potentially any others after it) but if it is your last segment and you don't care then it is no big deal.

Depending on how long the trip is you might choose to schedule that last segment way out in time and use it to complete a second trip to Europe at some later date, but that would require a bit more coordination.