I've got small air bubbles flowing into my pool through the returns. Why?

When air bubbles are feeding into the pool, that means air is being introduced into the plumbing somewhere.

Bubbles coming through return jets usually indicate an air leak on the suction side of the plumbing. The "suction side" refers to any plumbing before the pump. This could be a broken pipe, loose connection fitting, or perhaps a loose pump lid allowing air to be pulled into circulation. The last one could be as simple as a failing O-Ring that seals the pump lid.

Another possibility is if the pool has a secondary oxidation system such as ozone, AOP or hyper-dissolved oxygen (HDO). These systems introduce small bubbles into circulation, though ozone and AOP should have contact tanks that allow excess gas to escape prior to going into the pool.

Finally, another possibility could be if your pool has a CO₂ injector system. 

Process of elimination

Use the process of elimination to narrow down the source of the bubbles. If your pool does not have a CO₂ feeder or secondary oxidation system, then air must be introduced somewhere along the line. Generally, it will be introduced at (or before) the pump on the suction side. 

Start by checking the pump strainer basket lid. Check the O-Ring. If that's sealed, work backward from there. If you cannot find the source, hire a professional to do a leak detection if necessary.