advice please,do i have to refund?

i received my first

 

'buyer requested a return' yesterday for a second hand dvd they have said under Reason- 'i found a better price elsewhere'

 

and then under comments- 'i have not received the dvd'

 

sounds like a crock to me 

 

i do have no returns on my listings so will i be made to refund if i say no? im so confused by these new rules i dont know what to do 

 

thank you for any advice