The last ability triggers only if Kozilek's Return is in your graveyard as you cast the Eldrazi creature spell. That ability will resolve before the Eldrazi creature spell does. In other words, that Eldrazi won't be on the battlefield yet and won't be dealt damage by Kozilek's Return.

Exiling Kozilek's Return due to the last ability isn't the same as casting it as a spell. Cards that say "Counter target spell" won't work.