You're returning it to the store with the implication that you bought it at their establishment. By purchasing it elsewhere, and returning it there with the intent of buying a more expense game, you are in turn stealing. For example.
Both stores buy product at cost and have the same MSRP:
Store 1 bought game from manufacturer for $20 with the intention to sell it for $30 (MSRP). Store 1 decides to have a sale, marks it down to $25 to move the product. You buy it at $25.
Then, you take it to Store 2, who still has the product for sale at $30. You get the value of the product of the original game ($30). You then buy the second game.
Store 2 buys the second game at $30, sells it for $40 (MSRP). You've in sense just stolen from the store.
No, the store bought the game from you with the intentions of selling it at the price they bought it at.
They lose no money.