Is there any way to return from explore mode?

Nope. Sorry, can't be done. Entering both eXplore mode and Wizard mode is permanent.

The mention of the save file is because normally, when you restore a saved game, the save file is deleted so you can't retry and retry (normal for Roguelikes); in Wizard and eXplore mode, you can keep it. This is because those modes are meant, explicitly, for investigating the way the game works, not for playing it, so having a fixed starting point for examining several strategies is useful. But your eXplore status is saved within the save file, so even if you save now and later restore that file, you're still in eXplore mode. And crucially, by now, your previous, non-eXplore save file is lost, so you can't go back to it.