The first reason is that the address you gave was wrong. If the package is returned to Amazon, they’ll contact you to let you know what happened. You can then try to re-send your package to the correct address.
The second reason is that your package was delivered, but nobody was home to sign for it. If this happens, Amazon will try again after a certain period of time (usually two days). If nobody’s home again, or if there’s no response from Amazon, the package will be returned as undeliverable. You can email them at returns@amazon.com if this happens to you so they can work with you on getting it back into their hands and on its way to you!