"I don't have a bag."
When you say "I dont have a bag", you are really saying is "I dont have ANY bags". In Chinese for these situations, since you are referring to the lack of that certain thing in general, instead of the lack of one thing, you don't need 一個 .
Unless you want to emphasis (I dont even have ONE bag), then it is 我一個袋子都没有。
I do not see the issue with the sentence Cloud_Kupo suggests. The meaning is still correct in either way - with or without 一個.