That's not correct. If you are flying with an EU airline, EU261 covers you for both your outward and return flights even if delayed or cancelled when leaving a point outside the EU. If you are flying with a non-EU airline such as American, Delta, Emirates etc and the disruption occurs on a flight departing from a point outside the EU then you are not covered. So if you had a delay on BA from LAX to LHR, you'd be eligible for EU261 but a delay on United on LAX to LHR would not be. It's been a point of contention for EU long-haul airlines ever since the legislation was introduced, but that's the law.