Tony, return vents are vents usually near the indoor heater or exchanger. The return vents draw in air that has been previously heated or cooled by the unit to re cycle and heat or cool again.
return air is usually cooler or hotter than the outside air and its more easily conditioned again.
The return air is the air that goes through the filters.
I have been in some homes where the return vents are covered by a couch, chair, or an obstacle that impedes the circulation into the return. This chokes down the unit and causes it to gasp for air.
These return vents need to be clear and readily accesible to air and circulation.
If your return registers are not connected to the forced gas heater, then you are not using the program right. you could be just heating or cooling straight outside air. you might want to make sure that these are re connected and you will save some $$$$$$$$$$.