Notice your question is really can I partition $S=\{1,2,3,4,5,6,7,8,9\}$ into two sets $A$ and $B$ such that there are no three-term arithmetic progressions in either set. From here after a bit of messing around one might suspect that every $5$ term subset must contain an arithmetic progression of three terms, but this turns out to be false as the set $\{1,3,4,8,9\}$ exists. With this our hopes of a pigeonhole-based solution kind of go out the window, and for this reason, the proof for this modified version of the question is generally something of the following form.
$1$. Pick an arithmetic triple, say $(1,5,9)$, and notice we are forced to partition them into one of the following $\{(1,5),(9)\}$ or $\{(1,9),(5)\}$. (Using the mapping $x\mapsto{10-x}$ we see that $\{(1,5),(9)\}$ is equivalent to $\{(5,9),(1)\}$.)
$2$. Now place $1$ and $5$ in $A$ and $9$ in $B$, then $3$ also can't be in $A$ so place it in $B$, but then $6$ must go in $A$, and going through the mental gymnastics we end up with $A=\{1,5,6,8\}$ and $B=\{3,4,7,9\}$ and we see that $2$ can't go in either set so we are done with this case.
$3$. Consider $1$ and $9$ in $A$ and $5$ in $B$, then we are left to do two sub-cases, one where some other term, say $2$ is in $A$ and another case with $2$ in $B$. Either way, we see that it's impossible to not have a three-term arithmetic progression once more and so the proof is complete.
For a potential glimmer of hope regarding some pigeonhole-based proof notice for any given term in $S$, there are at least $4$ arithmetic progressions containing that term. For instance $9$ has $(7,8,9)$, $(5,7,9)$, $(3,6,9)$, and $(1,5,9)$. You might be able to find a way to work with that, but I haven't seen anything thus far.