If you receive a tax return you have to complete it, even if you are an employee and pay all your tax through PAYE.
A self-assessment return is sometimes required for other reasons, for example, to check the correct tax has been paid overall. If you are sent a self-assessment return you must fill it in and send it back even if you believe that you have no extra tax to pay. Failure to do this by the deadline of 31 January following the end of the tax year (for online filing) will result in a penalty of £100 (which could increase if the tax return remains outstanding).