They return their loot because there is a big chance that they can be traced because of the mistakes they did, depositing some of it on a centralized exchange in which they can be identified through their ip address or even with their personal information. So that is their biggest mistakes and the only way to somewhat lessen the burden is to give back the money they stole and hide.
There have been hundreds of exchange hacks to this date. And in only a handful of cases, the perpetrators have been caught. More than $30 billion worth of coins were stolen during the Mt.Gox hack in 2014. Seven years have passed and not even a single individual have been arrested yet. The same can be said about the other well known hacks, such as Cryptopia 2019 and Coincheck 2018. It is possible to track the hackers, but in many cases they are intelligent enough to destroy their trail. Only in cases where the hacker behaved in an extremely stupid manner they will be caught, similar to what happened with Tomáš Jiříkovský (Sheep Marketplace).