While you are within your rights to behave that way, the point you end up making is not "this would have been a gesture of a appreciation and you've blown it," but rather "I'm a cheap (insert epithet here)."

Tipping is a customary and expected part of the cost of dining in here; there's a lot of room to argue exactly how much is appropriate, and room to "show your appreciation" by exceeding (or not, or being lower than that), but in the end if you don't tip at all (at a full service sitdown place) you are just being a free rider.

If you really want to send a message, complain to the waiter (or better yet, call over the manager to complain), and then leave a conspicuously subpar tip (rather than none.)