This is strongly correlated with brand values they push in certain marketing campaigns and both returns as well as excellent service are promoted. Flipping it you could say they attract people that do returns more than avg.

Its explicitly designed into Zappo's business model and an intentional side effect. They have a 1 year return policy + free returns specifically to encourage people to send more returns so they are more likely to risk buying things that might not work out.

For the same products, I have a ~9% return rate. :/

That is different than normal return rates.