Most stores will require you to have either a physical or digital receipt should you want to return a product. If you ordered from an e-commerce platform like Amazon, Walmart, or Newegg, the receipt should be available to you on your Orders page.
That said, retailers like Costco, Macy's, and Target do accept receipt-less returns. In some cases, you'll have to settle for store credit instead of getting actual cash back.
For physical purchases, it's always good practice to take a picture of the receipt in case the item is not as described or you change your mind.