Unless you ship all the fuel you need to have on Mars while you are there and to get back (expensive), you'd need some technology to capture CO2 from the Martian atmosphere and combine it with hydrogen (from electrolysis) to make methane. But once you have that capture technology working there, it doesn't seem like there would be a problem with running that technology on Earth. If it were possible to capture CO2 directly from the air (DAC), you'd be cutting down the amount of CO2 in the atmosphere that is only there because we burn fossile fuels.