You explained that you mean
When a script ends it just ends. It’s done. It has ceased to be. It is bereft of live. It has bit the dust. The python process returns an exit code to the shell, and that’s it.
This is generally not called “returning data”. The sys.exit call is just a shortcut to exit asap from the process, with a particular exit status.
If by “returning data” you mean: actually communicate with other processes, then this is possible (you could write to a file or to the stdout, and used pipes or other mechanisms) but only while the process is still running.