Object variable or with a block variable not set when returning from a function

Why am I getting an Object variable or with a block variable does not set an error with the following code:

Function GetConnection() As ADODB.Connection
    'Create connection to worksheet
    Dim cn As ADODB.Connection
    Set cn = New ADODB.Connection
    cn.Provider = "Microsoft.Jet.OLEDB.4.0"
    cn.ConnectionString = "Data Source=" & ThisWorkbook.FullName & ";" & "Extended Properties=Excel 8.0;"
    cn.Open
    GetConnection = cn
End Function

      

        
        
        
      

    

I declared the object to be "cn", initialized it correctly, and then set some properties and opened it before returning it.

I am getting error on the GetConnection = cn line.