The thieves stole the bright yellow Big Bird costume - worth $160,000 - earlier this week but returned it undamaged early on Wednesday morning.
They left behind a note, saying they didn't mean to cause such trouble.
"We were just having a rough time and were trying to cheer ourselves up," they wrote.
"We had a great time with Mr Bird. He's a great guy and no harm came to our friend.
"Sorry to be such a big birden (sic).
"Sincerely, the Big Bird Bandits."
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Police said the letter was found in Big Bird's beak after two men were spotted running from the scene.
Patrols searched the area using a police dog but the men weren't located.
The investigation into the theft continues.
AAP. ..
Main images: SA Police.
