This week's book giveaway is in the OCAJP 8 forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide and have Edward Finegan & Robert Liguori on-line! See this thread for details.
It all depends what the method is doing, what sort of Exception it throws, and what you want to do with it. Are you inside a loop which can be repeated when whatever goes wrong has been sorted out? Do you have to close your app if there is an Exception?
But simply writing "return;" in a catch block is very inefficient. The most you will achieve like that is hiding errors; an Exception you know about is not dangerous. An Exception you don't know about, because it is consumed silently, can be very dangerous because you might be calculating "wrong" answers and not know about it. At least print a message so you know what has happened.