Does it mean that most people who climbed the mountains died?
We don't know whether they died or not, only that 'they didn't return'. Certainly is ominous, and leaves the imagination to go wild with scary scenarios: they 'died' because the mountains themselves are a dangerous terrain...or...they died because they were eaten by cannibals the other side of the mountains...or...it was so wonderful, a Shangri La, they didn't want to come back!
'to tell the tale' is a succinct way of saying, "to tell us about their experiences 'the other side of the mountains'".
Student or Learner