It feels like I've come to a dead end. If I understood it right then if I follow the Law of Demeter I can never make a method that returns an object and then client code makes calls to it. I'm just thinking about the Factory Pattern which always returns an object. Yes, there are mapper classes that return objects. And how about collections?
Law of Demeter is very confusing because looks like I couldn't ever write methods that return objects
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You've misunderstood the Law of Demeter and are applying it beyond the point of usefulness:
Factories in particular are used to create an object, and the type of object they create is part of their public interface. Thus, calling methods of an object created by a factory is allowed by the above.