They don't actually come back when you throw them. In fact, it's yourself that catches up with the boomerang.

It's difficult to picture, but you know how the world is spinning but ALSO moving around the sun? Well, the unique shape of a boomerang allows it to literally 'hover' in the air whilst we move away from it and then eventually back towards it. This is due to there being two elliptical movements; one of the Earth spinning and one of it moving around the sun.

Often when a person throws a boomerang and it fails to come back they're simply throwing it in the wrong direction and the world is 'carrying it away' with it as it spins.

Hope this helps!