Some people would reason the way you do about the problem - they would return the $1000 and leave with the $1 000 000.
That said, some people argue that by the time they have to decide whether to return the envelope, the million will either be there or not, and therefore they don't have to return the $1000 to have a chance at the million - they claim their odds of getting the million cannot be affected by which envelope they do, in fact, return, because the million is either already there or already not there. Such a person may then choose to keep the thousand, being as keeping the thousand doesn't change what's in their case. And, so far, every person reasoning that way has opened the case and found it with blank paper.
Not anything that'd get you in trouble during the game...
That said, some people argue that by the time they have to decide whether to return the envelope, the million will either be there or not, and therefore they don't have to return the $1000 to have a chance at the million - they claim their odds of getting the million cannot be affected by which envelope they do, in fact, return, because the million is either already there or already not there. Such a person may then choose to keep the thousand, being as keeping the thousand doesn't change what's in their case. And, so far, every person reasoning that way has opened the case and found it with blank paper.