Where is the return path for three phase current?

If the load is balanced, there is no need of neutral wire for current return, each phase is the return for the others. For instance, R phase may act as a return for Y phase and vice-versa. Generally three phase load is balanced.

If the load is unbalanced, the currents don’t add up to zero, hence positive, negative and zero sequence current flow and  in HVDC systems EARTH OR GROUND act as the return path in monopolar link of either one positive conductor or there could be one negative conductor.