You probably have an I-94 clipped into your passport that you are thinking is your
TN visa?
Technically speaking, you must surrender all I-94s when you leave the country. A
TN visa is a special case, you can get your I-94 stamped "MULTIPLE ENTRY" in big red letters and then you can keep it. Even if you don't get that stamp, customs won't usually take it from you if they know you are a TN.
However, clueless airline agents might still insist on taking it. This happened to me three or four times, and once they wouldn't let me on the plane unless I gave it to the ticket agent as I boarded. This freaked me out and I figured I was screwed, but actually I was ok.
Upon reentry into the US, I found out a TN "visa" isn't the I-94 they clip into your passport. Your TN visa is just a number. They write it in your passport somewhere with the date you got it, and the I-94 is just window dressing. You can always get a new I-94. Do not lose it -- but if you do, it probably isn't the end of the world.
Once I had to give my I-94 to a customs official when I entered the country from Europe. He said MULTIPLE ENTRY only applied to re-entry from Canada. I had to go to the back of the line and fill out an new I-94 and almost miss my connecting flight. No other customs agent has bothered me with this.