"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。
My implication is you use it when "one" is important. Buying one bag of apples is needing to say I just want one. "袋子" is used when saying you want a bag for the items just purchased, so the number isn't indeterminate, if you have three items that fit in one bag, that's implied to be one bag. Hope that makes sense