Often, banks will do this when dealing with forged maker's signatures because most of the time the depositor is the forger. Like others have mentioned, you have no obligation to accept the returns, and I certainly wouldn't do so in this case- after all, the money's gone, so you have nobody to collect from. But put yourself in the paying bank's position- they have a loss, and they are looking to recover funds from a presumed responsible party (your customer) to the forgery. They could take the low road and try to sneak a late return into the Fed items and hope you don't notice. Or they could take the honest approach, and ask real nice-like for your assistance. They chose the latter, you declined to shoulder their burden, and they are no worse off than they were before they called you.
And I'll echo the thoughts of the other posts here about your customer- it sounds like you've got an investigation on your hands. And if your customer is knowingly passing forgeries, then you're best off getting him out your door as quickly as possible. But before you close the account outright, you may want to consider placing exception holds on any recent check deposits, especially if they follow the same pattern as this check.