Consider the scene as a whole: the Winter Soldier is a ghost, his MO is to complete his mission and disappear without a trace. Most people have never heard of him, even the intelligence community doesn't believe he exists, despite him operating for decades and being involved in many of the most important events of the 20th century.
So he shoots Fury from a building away, through a wall, and then goes to disappear as usual. Except, this time, some dude starts chasing him across multiple buildings!
The Winter Soldier tries running, but it doesn't work. Cap is too fast, faster than anyone who has chased him before. He almost gets away, but Cap attacks him by throwing his shield. He's not going to let it hit him, obviously, so he catches it.
So now he's holding the shield, mask-to-face with the guy who's come closer than anyone in history to running him down. Cap's clearly not going to let him go, and Cap is fast enough that a chase wouldn't have a clear winner.
But consider his thought process: the Winter Soldier's priority in that moment wasn't to fight, or even to gather useful equipment. He was trying to escape. And when you're trying to escape, it's best not to take something precious from the person chasing you. That would only encourage further pursuit (not to mention likely slowing him down, as he doesn't have a back-mount like Cap).
So instead, he throws it back. HARD.
It impacts Cap in the gut, he's staggered for a moment, and when he looks up the Winter Soldier is gone. Mission successful, escape complete.
The point is, he didn't give the shield back, he used it to escape.