The part that's landing is the stage 1 rocket, which pushes the payload through max atmospheric pressure and near the edge of the atmosphere. By the time it's done doing its thing, it's going really fast away from its launch position. To land back where it started, it needs to reverse its (horizontal) velocity, which takes fuel. Some launch profiles leave it enough fuel to fly all the way back home, but some don't. I believe it's expected that the heavy launcher (basically three stage1's side-by-side) will always have to land the central stage at sea, because the center stage will keep pushing after the side stages are done, and it will be going way too fast to come back again.

Not an expert, but that's my understanding of things.