The cable could be gunked up/rusted in the housing and the additional friction of the gunk/rust is stronger than the spring that's supposed to return the brake to the open position.
OR
The spring is too weak to do its job of returning the brake to the open position. I don't know--do springs get tired and lose their springiness?
OR
The bolt that holds the whole thing together is adjusted too tight, causing friction which prevents the spring from doing its job.

disclaimer: I've never even seen an ultegra brake in rear life--these are generic problem/solutions.