else statement does not work

I am trying to make a loop which keeps giving an error message until the right number (0-4) is entered. But the current else statement is not working; Nothing happens when any other text (or no data) is entered. I am a newbie.

def my_function():

    def menu():
        """
        Display the menu
        """
        print("0) Go back to main menu")
        print("1) some texts")
        print("2) some texts")
        print("3) some texts")
        print("4) some texts")

    def my_main():

        while True:
            menu()
            choice = input("--> ")

            if choice == "0":
                return
            elif choice == "1":
                print("1")
                return
            elif choice == "2":
                print("2")
                return
            elif choice == "3":
                print("3")
                return
            elif choice == "4":
                print("4")
                return
            else: 
                print("You can only choose from the menu.")

    my_main()