I came across this same issue; setting the statsKey to be the empty string worked (meaning that Phalcon no longer reads/writes this enormous key to memcache), but it also causes the following errors to show up constantly:
[Fri May 29 16:48:07.883127 2015] [:error] [pid 3310] [client 172.45.0.79:43898] PHP Warning: MemcachePool::get(): Invalid key in /srv/www/releases/20150528003722/app/library/Session/Adapter/Memcache.php on line 121
[Fri May 29 16:48:07.883314 2015] [:error] [pid 3310] [client 172.45.0.79:43898] PHP Warning: MemcachePool::set(): Invalid key in /srv/www/releases/20150528003722/app/library/Session/Adapter/Memcache.php on line 121
All line 121 is doing is invoking Phalcon's memcache adapter. So the issue is that when the statsKey is the empty string, Phalcon still tries to read/write it from memcache, but the empty string is not a valid memcache key. There needs to be a correct way to simply disable this functionality; the _PHCM key grows and grows as we use more keys (we store session data in memcache) until it's several hundred KB, which means a huge performance hit from constantly reading/writing 500-1000kb of data to memcache.