Why didn't Dobby ever give Harry Potter his letters?

In COS Dobby stops Harry Potter's letters:

“Have you been stopping my letters?” “Dobby has them here, sir,” said the elf. Stepping nimbly out of Harry’s reach, he pulled a thick wad of envelopes from the inside of the pillowcase he was wearing. Harry could make out Hermione’s neat writing, Ron’s untidy scrawl, and even a scribble that looked as though it was from the Hogwarts gamekeeper, Hagrid.

Afterwords, Harry frees Dobby from his master. Yet, Dobby doesn't give Harry his letters!

Yet another unusual thing about Harry was how little he looked forward to his birthdays. He had never received a birthday card in his life. The Dursleys had completely ignored his last two birthdays, and he had no reason to suppose they would remember this one.

Harry sat down on his bed and grabbed Errol’s package, ripped off the brown paper, and discovered a present wrapped in gold and his first ever birthday card.

So why didn't Dobby give Harry his letters?

Answer

He left the letters in Malfoy Mansion and was frightened at the prospect of returning there.

Since Dobby had come with Lucius straight from Malfoy Mansion, we can assume he left the letters there. And we know Dobby was frightened to return to his former house of employ: (DH)

Dobby’s enormous, tennis-ball-shaped eyes were wide; he was trembling from his feet to the tips of his ears. He was back in the home of his old masters, and it was clear that he was petrified.

Thus he was too frightened to retrieve the letters.