Probably not, but a proof is hopeless. Ruzsa and Gyarmati have a preprint in which they construct such a subset of size something like $N/\log \log N$.

Probably not, but a proof is hopeless. Ruzsa and Gyarmati have a preprint in which they construct such a subset of size something like $N/\log \log N$.

Even the colouring version (that is, finite colour the squares, does one of the classes contain a 3-term progression) is open. A very closely-related question (Schur's theorem in the squares) is explicitly asked as Question 11 in this paper by Bergelson:

http://www.math.iupui.edu/~mmisiure/open/VB1.pdf

It is possible to show that a positive density subset of the squares contains a solution to $\frac{1}{4}(x_1 + x_2 + x_3 + x_4) = x_5$ by adapting the technique of arXiv:math/0302311. I'd have to admit this is slightly more than a back of an envelope calculation :-)