The thing is, you wouldn't even have a receipt if you try to return an item to a different store than you bought it from in order to try the trick described above. Hence you would have to lie to the cashier and claim you bought an item from their store, when in fact you really bought it from somewhere else. That dishonesty, and the fact that the new store could lose a lot of money if it refunds people for stuff they didn't buy there, is why I think such a scheme is basically the same as theft. If caught trying to do it you could probably be charged, so even if you don't have any morals I wouldn't recommend anyone here try it, plus as has been said it's pretty much impossible to return things to most places nowdays without receipts anyway. The reason they have such policies is to thwart schemes like the one above.
Now on the other hand, returning an item to the same store you bought it from and then buying it again to take advantage of a sale is perfectly a-okay and legal. It's just if you try to lie and return something to a different store chain than you bought it from to take advantage of differences in pricing, that's when it gets ugly.