Then it depends on whether or not all copies of an employee manual are considered company property or not. I have never asked my employees to return their employee manuals: I don't care whether they keep them or not. I can always print new copies. Nor have I ever been asked to turn one back in when I leave a company. On the other hand, there are companies who do want them back when an employee leaves. So whether you could get in trouble for still having it or not depends on which stance the employer takes.
You do realize, don't you, that in 9,999 cases out of 10,000, an employee handbook is not a contract and the company is not bound by law to follow it?