The risk-free return is the return an investor can earn without taking any expected risk of default, in practice the yield on short-term government debt in the investor's own currency, such as US Treasury bills. It is explained in full on the Risk-Free Rate page.
Riskier assets must offer more than this, the extra being the risk premium, as set out in the capital asset pricing model. Even "risk-free" assets can lose value after inflation, as real terms shows.