Returning my newly purchased iPhone 14

Yes, as long you have the original box and all accessories included when you received AND you are still with the original 14 days from purchase. If you are past the return window, you can't return it.

You didn't answer my question. Do you see a message on the screen saying the phone needs to cool down before you can use it? If you don't see a message saying that, your iPhone is NOT overheating.

You have 14 days from date of original purchase to return your iPhone for refund. You say it is overheating. So you actually see a message on the screen that it needs to cool down before you can use it? If you don't see any such message, your iPhone is NOT overheating. It may get warm when being charged or streaming music, videos, etc., which is normal and expected.

You can certainly schedule an appointment at your Apple Store Genius Bar for evaluation and if it is determined the phone is defective, Apple will likely replace it. But don't be surprised if they don't find anything wrong with your phone.