Kids say the darndess things, adults can ask the silliest questions. Where does that perception that we seem to have as kids go?
For a little context a coworker asked me why we get tax returns.
Tax returns are used to determine your appropriate income tax. It does not involve sending you back money.
I'm assuming you mean a tax refund, which you get back because you have overpaid your tax liability (what you owe).
So you get it back because you overpaid your taxes. Sure, they could use that money to good purpose, but there'd likely be serious social and political repercussions if the government decided they can keep as much of your money as they want.
So as you can see they do keep all your taxes. The government has no way of knowing exactly how much money you will earn, or what exemptions you qualify for ahead of time so they do not know how much money you actually owe. Your tax return is the form that you fill in reporting what you actually owe and the difference between that and what was withheld is either what you get back if you overpaid, or what you owe if you underpaid.
Tax refunds send back what you overpaid in addition to your taxes, since otherwise they're basically taking money you don't owe.