Why does return false not work on this?

1

I have some code like this, which is on a button click event.

var $this = $(this);
	$this.closest('.opts').find("select").each(function() {
	  id = this.id;
	  if(this.value=="")
	{
	  alert('Choose one');
	  return false;
	  }
	  console.log("#"+id);
	  console.log(this.value);
	});

Why doesn’t the return false work here? Instead I am using prevent default.

Any suggestions will he highly appreciated!