To check against possible fraud. Your name will appear on a database somewhere that logs such events and a pattern will emerge if a person is being naughty?
Not even as complicated as that... no retailer I know has a database that customer's name's are kept on. They just use the details to double check details if staff think that someone is refunding too much. Also to protect businesses against staff theft and fraud.
If rumours are to be believed then there is indeed a huge database kept somewhere detailing "serial returners." Or, they want us to believe this so we limit returns through fear of being found out! I suspect the information is held somewhere though as they record a surprising amount of info about us from shopping receipts etc.