Is it illegal for a family memeber not to return my personal belongings?
It would depend entirely on the situation. If that family member is, for example, your wife or husband, they may enjoy joint ownership of your possessions.
Any family members who keep an item that belongs to you which they do not have permission to have are breaking the law. However, depending on the circumstances, it may be very difficult to prove ownership, guilt, or persuade the police to follow matters through.