Michael Lewis, a pretty savvy financial guy who has written a lot about financial markets, says this:
There is no such thing as a riskless asset. The reason an asset pays a return is that it carries risk.
Actually, even a perfectly risk-free financial asset (which I agree does not exist) theoretically pays a return, a payment for the use of your money for some period of time, which compensates you for the opportunities to use that money in other ways which you forgo when you buy that asset.
It is an odd mistake for him to make, but perhaps it is a nomenclature issue, with financial guys thinking of returns in terms of spreads, say against the risk-free rate. Certainly if you define it that way, returns on financial assets would be all due to risk.