I doubt if anything happens if you don't return it. It's more likely it is to comply with EU, and now UK, law about providers of electrical/electronic equipment having to make provision for its recycling.
Or just a FreePost Label ! It all goes a little way to minimising waste as BT will recycle it properly - or even refurbish for their own spares holding.
I did a recent return to BT of old 2-wire hubs, Huawei and ECI modems plus numerous filters/splitters and phone cables. One box, one label and into the Post Office, it also saved me a trip to the local tip where there is an electronics skip!
M H C
taurus excreta cerebrum vincit