The answer is yes... IMO. For example, gambling and prostitution is illegal here in India. So the rich Indians usually travel to places such as Macau for gambling, and Thailand/Cambodia.etc for prostitutes. No one takes criminal action against these people. The only consequence is that the Indian government loses valuable tax money and countries such as Macau are gaining them.
I think what you mean to say is no. Your country does not attemp to penalize anyone who goes to Thailand to do things that would be illegal in India. India respects that their jurisdiction is only within their borders and so they do not attemp to extradite anyone back to India, because they involved in gambling and prostitution in another country. They don't find people who return from Combodia and put them in jail in India because they would have been breaking Indian law if they weren't in another country.
Here in the US if someone goes to Mexica and has sexual relations with someone who is under 18 it almost seems like they are ready to put the person in jail when they come back to the USA even though they have no authority to do so. This concept of being world police where the US starts putting people in jail in the US for things that THEY DID IN OTHER COUNTRIES is concerning.
I think that the rules should be that where you have committed the crime then that would be the one to have jurisdiction over you. AND if you commit it on another country then that country would be the one to chase and uphold you responsible.
That's the way it has been yes. Extradition has existed and can be used to bypass this. The concept of a one world government is growing though so this is changing.