Let's assume that I send an amount of metal to one of my colonies.
Is there any way that my cargo ship does not return empty?
In other words: in there any way to send metal and receive let's say, deuterium
in one voyage?

You mean if the cargo can fill itself up with Deuterium from it's target planet and return with it in the same transport trip? No, you would have to send a second cargo mission simultaneously from it's target. I think the transport message you get when they return (where it says they find nothing) is either a typo or something in the system that cant be helped.

-Istalris-

Thanks for the reply!
I wasn't talking about the message, I meant exactly what you pointed out,
which was whether the ship can load on the target planet and return full.
It seemed reasonable to me

thats not a bad idea, u should put that in the suggestions.