Your fiance is sending you what's called a symbolic communication. Unlike direct verbal communication, he is telling you what he thinks and feels through a symbolic action.
You need to ask him to translate the meaning of his action. To do this you could say, 'I have noticed that you haven't given me back my engagement ring and I wonder how to interpret this. ' You could also ask another related question such as, 'Are you telling me that you aren't 100% sure that you have mixed feelings about getting married?'
The key is to get him talking, not acting. Once his feelings are put into words you can then begin to work them through, once again by talking.