You need to strip the http:// or https:// from your return url.  Here are my functions, use at your own risk :)

public string GetLoginUrlWithReturn()
{
return GetLoginUrl(HttpContext.Current.Request.RawUrl);
}

public string GetLoginUrl()
{
return GetLoginUrl("");
}

public string GetLoginUrl(string returnUrl)
{
            if (returnUrl.ToLower().StartsWith("http://"))
                returnUrl = returnUrl.Substring(6);
            if (returnUrl.ToLower().StartsWith("https://"))
                returnUrl = returnUrl.Substring(7);
            string ret = "";

            if (!string.IsNullOrEmpty(returnUrl))
ret = "returnurl=" + HttpContext.Current.Server.UrlEncode(returnUrl);

if (PortalSettings.LoginTabId != -1)
{
string url = "~/Default.aspx?tabid=" + PortalSettings.LoginTabId.ToString();
if (!string.IsNullOrEmpty(ret))
url += "&" + ret;
return ResolveUrl(url);
}
string url2 = Globals.NavigateURL(TabId, "", "ctl=Login");
            if (!string.IsNullOrEmpty(ret))
            {
                if (url2.Contains("?"))
                    url2 += "&";
                else
                    url2 += "?";
                url2 += ret;
            }
return url2;
}

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DotNetNuke Modules

Tried your code Mike, same behavior it's returning me to the Main Page instead the page i'm at.