To be able to return a part or other item to Autozone you'll need to have the original purchase receipt because it without the purchase receipt they won't be able to refund your money or exchange the item or part.
Autozone can usually look up receipts for up to 3 months after purchase so they might be able to take the part or item back based upon that receipt if they can find it.
However it's not guaranteed that they will take the part or item back without your receipt in hand.
So most times if you do not have the receipt then you'll be unlikely to return the part or item.
You might try selling the part on ebay to get your money back and sometimes you might even profit from the sale of the part.