"Return" in this case means that a value is passed back through the stack that could be assigned to a variable in the calling code. That's not the case in your example.
Object o = sayHello(); // WRONG - Compile error
A void method can do things - In your case print to the screen. That's not a "return" in these described here.
Since the question shows at the top of the page as "Java Void Methods Return" with a capital "V" on "Void" it may also be worth noting that Java has a class "Void" in addition to the keyword "void." A method declared to return Void does return something - but if that's your case, you should check the documentation for that class because it's kind of a special case.