You have to ask to get the old one back, otherwise they don't bother sending it to you. I believe there is a place on the form where you request that they return the old passport.

I have all my old passports. I had been saving them for sentimental reasons. But on some recent visa applications, I have had to provide a liots of all the countries I visited in the past 5 years. I definitely needed to check my old passport for that info.