If you put it back in the postbox marked 'not at this address' or similar this is what happens….
If it has a return address on it it will get returned to sender, but there is nothing to say they will act upon it once it is returned.
If it has a first or second class stamp on it but no return address on the envelope it goes to Belfast to be officially opened. If there is a return address inside it will get returned, but again, there is nothing to say they will act upon it once it is returned.
If there is no return address either inside or out it goes in a big bag marked 'Confidential Waste' and gets incinerated, and trust me sh**loads get dealt with in this way.