A tax return is the Form 1040 you send to the IRS. Do you mean you are not getting a refund? When you get money back it is called a refund.
If you are not getting a refund then you are not having enough withheld from your paychecks. A "big" refund from the amount you have withheld would only mean you gave the government an interest free loan all year, so the goal should be to have enough withheld to get only a small refund, but not owe anything. If you find that that each year you owe a significant amount, then you should change how much you are having the employer withhold from your paychecks by giving them a new W-4.
https://turbotax.intuit.com/tax-tools/calculators/w4/
https://www.irs.gov/individuals/tax-withholding-estimator
https://www.irs.gov/pub/irs-pdf/fw4.pdf
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