I go in and out of the EU and UK (I think I need to differentiate now ;-) on my UK and US passports frequently.
I've never had an issue as long as I present the correct one when leaving. This isn't as big of a concern in the UK (no emigration control) - but I got called out in the Netherlands recently when the emigration agent couldn't find an entry stamp in my US passport. I had gone in on my UK passport, oops.
He asked if I happened to have a second passport, I realized my mistake and swapped them out. He said something about it not being illegal to travel using 2 but that it was not advisable. I didn't push for more details.
My take away - always make sure to get matching entry and exit stamps where you can.