Is there something wrong with receiving US Mail at work?

At work I was approached by the receptionist and asked not to have mail sent to the office. I ignored her and maybe 1 month later the administrative specialist (pay roll) approached me and said the same thing. Then a month after that the deputy director told me the same thing. Each time it would be one letter and they would always just hand it over after telling me "stop" Now months later I get another letter and they write "Return to Sender" and I guess they were going to do that, but a co-worker warned me and I stopped them. I guess my question is, whats the big deal? I work weekdays from about 9am to 8:00 pm sometimes its necessary for me to have certain things sent to work. I pretty much live there. I only get about 2 letters (most times less) a month. Is their some kind of law protecting my right to receive mail, or are they right in returning my mail??