"Returning" is, by definition, an enchantment applied to the "ammunition" of a ranged weapon. Doesn't make sense to add it to a Greatsword, after all. You don't apply it to the bow or sling, only to the hammer, dagger or axe.
There are a number of ranged/ammunition type weapons that aren't destroyed when used. Javelin, spears, throwing axes and daggers are among these.
So how do we decide what it can be added to, and what it can't?
Some might say that the dividing line lay in how the weapon is delivered. Hurled weapons, like daggers and spears, might fall on one side of that line. If fired from a weapon, as arrows, bolts and sling bullets are, would fall on the other. Yet darts are considered "ammunition", and spears (which can be fired with a spear-thrower) aren't.
Others might draw the line based on the size of the item, or how they're normally bought and carried. Small items might count as "disposable", and weapons sold in quantity are obviously intended to be "fire and forget". But daggers are small, and Javelin are carried in a quiver designed to hold 6 or 8.
We might look (ironically) at how fragile/breakable an item is. Arrows shatter relatively easily, while daggers don't. But sling stones aren't even slightly fragile, yet are counted as "ammunition".
There are flaws in all of these arguments, when we compare them to the rules of the game. IRL I've seen a light spear/javelin break (quite easily) when it hit a target and knocked it over, for example. The weight of the spear sticking out of the target made the target topple towards the thrower, and the weight of the target landing on the spear snapped it like a twig.
So I guess it would be a relatively arbitrary decision no matter what standard you tried to apply. More of a "I know it when I see it" kind of thing.
For game purposes, I'd draw the line based on how you paid for it. If you wanted a single magic arrow of Returning, and paid full price for it (as opposed to paying for a set of 50), I'd probably say it was fine. You won't get to fire it multiple times in a round, no matter what, since Returning items come back at the end of your round. Same for Shuriken or sling stones or anything else.
Thus Bard the Bowman really could have his favorite black arrow, the one that never seems to miss, and that he's always gotten back. The one that killed Smaug.
But he only gets one.