In my experience, they alway return to the coop/run. At first when you turn them loose, they will stay relatively close to the coop/run. The more often you open up, the farther away they will roam, but they always return to the coop just a bit before dark.
If you free range them, you do increase your losses from predators. That is nearly a perfect fact, that free ranging birds will get caught by either wild animals or other domesticated pets. Everything likes chickens.
To help lower the losses due to predators I do the following things:
I don't establish a pattern of time out, for example sometimes they are out at 7:00, sometimes not till 3:00. Some days I let them out, some days I don't.
I don't let them out on high wind days, or heavily clouded days - gives too much advantage to the predators.
IF I get hit by a predator, then I leave them in the run/coop set up for several days or even weeks.
I do have a mature (over a year old) rooster.
While these things help, you are bound to lose them if you free range long enough.
Mrs K