I am facing the following problem.

I am currently abroad. I was having a SBI International Debit Card, I was using it for last 2 years.
But few days ago it got captured in an ATM, when I approached my bank they said we blocked your card because we thought these are illegal transactions. When I asked them why they didn't confirmed me about the same, there was no answer.

Further the bank where my card got blocked asked a fax from my bank, so that they could return me my card. But SBI refused to do so, and asked me to apply for a new card.

Do they have the right to do so?