I have not seen any posts in the forum with this issue so i don't believe it is something that happens often.
I don't know what the cost of the item was, but if it was sent to you from within the UK, you would have to be given a UK address to return it to.
You would need to use tracked postage.
Have you opened a return case?
If you have, and the item was sent from within the UK but the seller won't provide a UK address, you can ask Ebay to step in.
"There are two ways to be fooled. One is to believe what isn't true; the other is to refuse to believe what is true.”
Søren Kierkegaard, Danish philosopher (1813 - 1855)