PostgreSQL: Query has no destination for result data

The stored procedure won't just return the result of the last SELECT. You need to actually return the value:

CREATE OR REPLACE FUNCTION fun() RETURNS text AS $$
BEGIN
    --- ....
    RETURN(SELECT dblink_disconnect());
END
$$ LANGUAGE plpgsql;

You're getting the error because Postgres expects the function to return something of type text, but your function doesn't return anything.

Use a plain SQL function instead of PL/PgSQL, or use SELECT INTO and ordinary RETURN.