void stored procedure does return something?

I have the following stored procedure return void.

CREATE OR REPLACE FUNCTION sandbox()
  RETURNS void AS
$BODY$DECLARE
    DECLARE me text;
    DECLARE he int;
BEGIN
    he = 100;
    RAISE NOTICE 'he is %', he;
    -- me = "Hello PostgreSQL";
END;$BODY$
  LANGUAGE 'plpgsql' VOLATILE
  COST 100;
ALTER FUNCTION sandbox() OWNER TO postgres;

When I perform query :

SELECT * FROM sandbox();

Everything is fine.

"he is 100" is being printed in message area.

However, when I remove "--" from
me = "Hello PostgreSQL";

I get the following error :
================================================
ERROR:  column "Hello PostgreSQL" does not exist
LINE 1: SELECT  "Hello PostgreSQL"
                ^
QUERY:  SELECT  "Hello PostgreSQL"
CONTEXT:  PL/pgSQL function "sandbox" line 7 at assignment
================================================

But isn't my stored procedure is void? Isn't it shouldn't return anything?

Thanks and Regards
Yan Cheng CHEOK