Not by RAW, at least not to the point that they hinder you or cause damage to take out (if someone's getting magical healing anyway sand you like the image of the wound closing as the arrow is pulled out or whatever, go for it), that's something unique to the harpoon and a few other weapons.

I agree with Frank, I don't really like the harpoon and how it goes against normal rules. So...allow it if you want it to work. It certainly won't make him as powerful as a spellcaster, and throwing weapons is an extremely weak specialty already, so it wouldn't be unbalanced to allow, IMO. Just be glad he hasn't discovered Bloodstorm Blade prestige class (Tome of Battle). They don't need no stinckin' returning property, they can full attack with the same thrown weapon, it keeps returning to their hand immediately after each attack!

For further reference in decision making consider:
1) The Snatch Arrows feat. It lets you catch, and (if you want) throw back at the attacker, a thrown weapon. If a creature caught and opted to keep his harpoon, would you let returning work? Probably not, because the creature's possession trumps the property, it can't just take away an attended item, right? So...if being held is enough to negate returning, why wouldn't being lodged in the person's torso stop it?

2) Raptor Arrow from MIC. It's a unique re-usable non-destroyable relic arrow of Ehlonna. I think it automatically buries itself in the target's flesh and automatically rips itself out (for more damage) and returns to the shooter on his next turn, IIRC. Check it out, similar to a harpoon and returns as a base ability, might help you gause whether the player's harpoon trick is acceptable.

ncG1vNJzZmivp6x7prrWqKmlnF6kv6h706GpnpmUqHyzsdOuqaehnpx6orrDZp%2BaqqCkvK%2B%2FjWtwcGxoZ3w%3D