If there's no return address, they may open the envelope to try
to retrieve it.
I know, because I once sent my resume to a company which I didn't
know had already moved. I had forgotten to write down my return
address at the back of the envelope.
As a result, they opened it, got my address, resealed it, and sent
it back to me. The envelope was resealed with a special sticker
explaining to me what had happened and advising me to write down my
return address for then onwards.
Oh well. 
