On the contrary, DO open the letters and contact the people direct, as any returned letters may not actually go to the sender and in any case will suffer a delay in getting to them. The reason for this is simply that unless you do, there is no actual closure and until they know for a fact not to keep chasing as it is a waste of time, they will continue. Let's face it, anyone - even someone who actually has a debt at that address - can say not known.
As a postie I have seen this a lot, and been moaned at by new occupiers who seem to blame me, but I have to deliver them as addressed. Once it is through the box though, my (and the legal) obligation is discharged and if you know for a fact it is old occupiers with no forwarding address or you suspect fraud, you can do as you wish - bin them, return them, or do as I suggest. It IS after all, your address.
As I said, I have seen a lot of this, and this is the advice I have given many in order to break the cycle rather than leaving it in limbo or waiting for balliffs to turn up - who admittedly can't do anything as it isn't your debt, but is still an experience you don't want.