If I fly back to my home country they will not stamp my passport that I'm back, Not will they stamp it then Im leaving, so noting in my passport will ever show that I have left Thailand.

It shows you passed airport immigration to leave on a given date. Unless you want to say that you managed to hide yourself airside for all the time before returning.

Ok, to clarify... My home country does not stamp my passport, Thai does. but It will never state in my passport that I have entered another country.

Don't try it at Poipet. They will check for in out stamps and send you back to do it. Haven't done it myself but have seen people being refused entry to Thailand and had to go back and get in/out stamps

Ok, to clarify... My home country does not stamp my passport, Thai does. but It will never state in my passport that I have entered another country.

Mine neither does. The point is that you must fly to you country, and that takes time. When immigration sees, for example, a gap of a week between leaving and returning, they can safely assume you have left Thailand and entered another one. Not so, if you had, for example, a gap of one day. Beside, they can always check with your boarding pass and the airline to know for sure where you come from.

That is the definitve answer

The official rules of Thai Immigration are that you have to enter another country before you can return. They do check, but you might be able to get away with it. It may be possible in some airports, but in many airports you won't get to the departure area without entering through the local immigration first.

"However, as there is no visa fee to be paid to enter Malaysia (or Singapore or Hong Kong), is there any legal reason why one cannot use these countries as a transit stop only for a visa run?"

If there is no visa fee for you, why are you opposed to going through Malaysian immigration and then turning around to return to Thailand the right way? Why try to beat the system for no reason?

If I were you I would fly to Penang, pass through Malay immigration, and then return on your flight back to Thailand. Alternatively, you could fly to Penang, enter through Malaysia, and then return to Thailand on a train from Butterworth.

No-one has yet given me the legal reason why this cannot be done.

When I go back to Europe I do not get any stamps to show that I have entered or exited Europe. Thailand has no problem with this. when I come back. They don't look for stamps in my passport.

So why would they suddenly start looking for stamps from Singapore, Hong Kong or KL?

The very fact that I would be arriving on an international flight (complete with my boarding pass matching the manifest) shows them that I have been outside of Thailand. Why would they want to know more than that?

The LEGAL reason is that it is the requirement of Thai Immigration. Thems the rules.

Could you get away with it in certain circumstances? Possibly.

If you show them a boarding pass from Singapore/HongKong/KL, and if you're not from that country, then they'll be looking for the stamp into/out of that country.

But I still wonder why you would bother with all this when you could just do it the right way in Malaysia. If you're going back to your own country, then you can explain. If not, then whats the big deal about stamping in/out before you turn around? Seems like much ado about nothing...

No-one has yet given me the legal reason why this cannot be done.

When I go back to Europe I do not get any stamps to show that I have entered or exited Europe. Thailand has no problem with this. when I come back. They don't look for stamps in my passport.

So why would they suddenly start looking for stamps from Singapore, Hong Kong or KL?

The very fact that I would be arriving on an international flight (complete with my boarding pass matching the manifest) shows them that I have been outside of Thailand. Why would they want to know more than that?

Hong Kong no longer stamps passports.

Thai immigration does not look for stamps, if flying in. However, it's not too much effort to get stamps from Malaysia, Singapore etc. since it's free entry for most foreigners anyway.

No-one has yet given me the legal reason why this cannot be done.

When I go back to Europe I do not get any stamps to show that I have entered or exited Europe. Thailand has no problem with this. when I come back. They don't look for stamps in my passport.

So why would they suddenly start looking for stamps from Singapore, Hong Kong or KL?

The very fact that I would be arriving on an international flight (complete with my boarding pass matching the manifest) shows them that I have been outside of Thailand. Why would they want to know more than that?

The LEGAL reason is that it is the requirement of Thai Immigration. Thems the rules.

Could you get away with it in certain circumstances? Possibly.

If you show them a boarding pass from Singapore/HongKong/KL, and if you're not from that country, then they'll be looking for the stamp into/out of that country.

But I still wonder why you would bother with all this when you could just do it the right way in Malaysia. If you're going back to your own country, then you can explain. If not, then whats the big deal about stamping in/out before you turn around? Seems like much ado about nothing...

Hong Kong doesn't stamp passports anymore.

About 5-6 years ago, I tried to do the exact thing that the OP is proposing, in the same place - Mae Sai.

After stamping out of Thailand, I waited a while in the "halfway" area, then tried to stamp back in. No go. The Thai immigration officer made me go over to the Myanmar checkpoint and get in/out stamps there before he would stamp me into Thailand.

At land borders you must get stamped in/out. The only exception is if you're using the VIP pass at Mae Sai, but in that case you aren't really going for a visa run but rather for a one day visit to the Myanmar side for shopping, for example.