Cap's shield has been transferred to multiple different characters over the years, sometimes it's explained, sometimes it's just "New #1!" and it's not explained.

I always figured it was bouncing off of the thing he threw it at, and it just bounces perfectly back to him every time. A combination of "he's really good at throwing it" and "vibranium has whatever kinetic properties it needs to for the given situation." :P

As Spidey said in Civil War: "That thing does not obey the laws of physics at all, does it?"

I thought OP meant how does it physically come back to him, like a boomerang.

That was always my impression, going back to when I first read the series in the 80's.

Another way of looking at it is that's it's just another piece of Marvel comic-book BS logic, and not worth wasting one's time & braincells on.

It's a special circular boomerang. They need a certain amount of suspensio beliefium to work.