BUG #4704: syntax error at or near "RETURNING"

The following bug has been logged online:

Bug reference: 4704
Logged by: Brad Constantinescu
Email address: brad(dot)constantinescu(at)gmail(dot)com
PostgreSQL version: 8.1.4
Operating system: FreeBSD
Description: syntax error at or near "RETURNING"
Details:

This is how the table looks like:

CREATE TABLE orase
(
id serial NOT NULL,
judet_id bigint NOT NULL,
nume character varying(256),
nr_sectoare numeric(2),
CONSTRAINT orase_pk PRIMARY KEY (id)
)
WITH OIDS;
ALTER TABLE orase OWNER TO erp;

This is my code:
INSERT INTO orase (id, nume, judet_id, nr_sectoare)
VALUES (DEFAULT,'Medias', 34, 0)
RETURNING id;

This is the error I get:

ERROR: syntax error at or near "RETURNING"
LINE 3: RETURNING id;
^

********** Error **********

ERROR: syntax error at or near "RETURNING"
SQL state: 42601
Character: 92