This is completely ineffective. Most junk mail (at least in the USA) is sent in a mail class that doesn't even provide return service; all you accomplish is to task the Postal Service with transporting the mail piece to a Dead Letter Office, where it will be destroyed, if it isn't destroyed at an earlier step in the dead letter process.
Functionally, there is no way to get off junk mailing lists; many bulk mailers simply buy listings of all valid addresses in a particular geographic region and send their pieces to Every. Single. Address. These are often the ones marked "Resident" or addressed to someone who might have moved years before (with "Or Current Resident" appended). Even on more targeted lists, like customers of particular businesses (those that ask your address at checkout, or issue loyalty cards, for instance), once you're on the list, you probably can't get off it.
Best I can suggest is that you might be able to heat your house for "free" (you'll spend some of your labor, but little to no money) if you can manage to get on enough junk mailing lists -- there are a number of videos on YouTube on the subject of converting junk mail to homemade stove or fireplace fuel. There are many documented cases of people managing to completely stop paying for winter heat with similar methods (though if you live in a region prone to air quality issues, burning bans may affect this).