If you’re editing a cell, pressing Return ends editing. If you need to insert a blank line in the text, choose Edit → Insert → Line Break.
Cmd-Return is the keyboard shortcut for inserting a blank line into a cell.
If you anticipate needing to insert many blank lines, you might want to enable Paragraph Mode (Edit → Paragraph Mode). In Paragraph Mode, the Return key adds a blank line — press Option-Return to end editing.
Set Paragraph Mode to be the default for pages in new Notebooks in “Return Key” Preferences.