You should always contact the seller first. Some sellers genuinely don't know an item is counterfeit and with as many things that do get knocked off it can be a mistake easily made.
I once bought a pendant that was sold as a 17th century portriate miniature. Turns out it was a 19th century replica. The seller made a mistake, and they dealt in jewellery.
And I once sold a cologne and lotion only to have the buyer inform me the cologne was real but the lotion not. I issued a refund immediately and told them to do as they saw fit with the purchase. Those were a gift to my cousin, I truly had no clue.
They may want the item back because they may have doubts it's fake... just send it back and hope they realize it is fake and don't try to resell it.