I asked about solution for function with empty return (compared to return nil) on Fennel IRC channel. It seems that (values) at the end of function block with no arguments seems to be best solution (thanks mrichards42).
(fn _G.init [self]
(your_code)
(values))
This will create return with no arguments in Lua code. Guess this should be used for all callback functions (init(), on_input(), on_message()) for safety reasons.