Is there any way to not return something using CoffeeScript?

You have to explicitly return nothing, or to leave an expression evaluating to undefined at the bottom of your function:

fun = ->
    doSomething()
    return

Or:

fun = ->
    doSomething()
    undefined

This is what the doc recommends, when using comprehensions:

Be careful that you’re not accidentally returning the results of the comprehension in these cases, by adding a meaningful return value — like true — or null, to the bottom of your function.

You could, however, write a wrapper like this:

voidFun = (fun) ->
    ->
        fun(arguments...)
        return

(Notice the splat operator here (...))

And use it like this when defining functions:

fun = voidFun ->
    doSomething()
    doSomethingElse()

Or like this:

fun = voidFun(->
    doSomething()
    doSomethingElse()
)