Sorry, dood, that's the risk you take with buying games new.
Honestly, why should they allow returns for opened games? What's to stop someone from buying the game, playing through it, then just returning it? Or even just copying the game? Nothing. I think they're being reasonable.
If you want to get rid of it, take it to GameStop and get a few bucks for it. You'll have to eat the loss, but it's better than nothing.