This isn’t light rail, the power comes solely from the overhead catenary lines.
matt04 is correct when he says "the rail functions as a return for the electricity." The power comes from the catenary (in other words, the 'hot' side - the black wire in your house wiring.) The rail is the ground, or as matt04 said return - the white wire in your house wiring.
You need a return for it to work, for the same reason there are two prongs on your basic electrical plug at your house...