I'm guess cost, who pays to send it back?
Disease, don't want to introduce a foreign disease into the wild population eg something from NZ etc.
In some cases how would you know where the animal came from if it passed through several ports before reaching final destination.
They do sometimes send them back home, according to ERMA's new organisms incidents sumary "Arrangements were made with the Indonesian government for the return of one blue tree monitor." This was the same incident where "In December 2007 MAF destroyed 8 green iguana, 2 emerald green tree monitors, and 5 Chinese water dragons."