I received federal taxes as a direct deposit (DD) but the state was sent by mail and returned to post office. I am sure I chose the DD option while filing. Any ideas why?

The state has the option to deny the DD if they choose ... all you can do now it put in a change of address with the state to get the refund check reissued.  See your state's web site for the process needed. 

Should I contact them immediately or there is a deadline for changing the address. I am not in the States now, so can I contact and get the check in later when I am in US?

They will be happy to hold the money until you do something to get it released.