Is it ethically wrong to purchase something knowing you are going to return it?

[Peh]

Yes. I think it is ethical wrong.
Depending on the company and how it calculated the costs for it's product, it could lead to a financial damage. The damage could be so small that it is not worth mentioning, or take some noteable hits on the company. Depends on what the product is and wether it can be reselled. It also depends on what kind of market the product belongs to. This is all generally speaking, of course.
There are a lot of differend factors coming into play.

But to sum it all up, buy a product with the purpose of keeping it.