There's a full discussion of the phrase here

Your interpretation, to be left with an empty bag that previously had something valuable, is one of several interpretations, but not the earliest.

The original seems to be, the member of the group holding a bag of contraband when the authorities intervene.

I think this second meaning is the more compelling: the group sought a benefit but only one bears the cost. Or, each member of the group took the risk but that risk only materialised for one member.

I mean, after you share out a bag of gold, including giving yourself a share, the bag will be empty.