We had a brand new home built by a local contractor and they did not put any cold air return vents in the basement? Is this OK?

If the basement is unfinished, then it's fine. Any liveable space should have the cold air returns. Actually you should have 2 returns in each room ( I believe a few rooms are excluded: Bath, utility?), a hot air return (AC) located near the ceiling and a cold air return (Heat) located at the floor. These should have the ability to be opened and closed easily to switch between heating and cooling modes.

A basement is generally "not liveable" unless it is finished. e.g. a recreation room.