When I was in college living in a dorm room with cement walls, I bought a hammer drill, masonery bit, masonary screws, and an appropriately sized socket for the screws. Drill the hole with the masonary bit with the drill in hammer mode. swap on socket to drill and drive in masonary screw. End of year, take out masonary screw - fill hole with toothpaste. Nobody the wiser.
Got through several years of end of year room inspections with no damage reported.