Of course it is not working.
At best, the behaviour is undefined, since Arg() is returning the address of a local variable (arg) that no longer exists for main(). main() uses that returned address when it is not the address of anything that exists as far as your program is concerned.
There is also the incidental problem that int arg[size], where size is not fixed at compile time, is not valid C++. Depending on how exacting your compiler is (some C++ compilers reject constructs that are not valid C++, but others accept extensions like this) your code will not even compile successfully.
To fix the problem, have your function return a std::vector<int> (vector is templated container defined in the standard header <vector>). Then all your function needs to do is add the values to a local vector, which CAN be returned safely by value to the caller.
If you do it right, you won't even need to use a pointer anywhere in your code.