diff --git a/stable_baselines3/common/distributions.py b/stable_baselines3/common/distributions.py
index 068bba5..6fa70f8 100644
--- a/stable_baselines3/common/distributions.py
+++ b/stable_baselines3/common/distributions.py
@@ -655,7 +655,7 @@ def make_proba_distribution(action_space: gym.spaces.Space,
     if isinstance(action_space, spaces.Box):
         assert len(action_space.shape) == 1, "Error: the action space must be a vector"
         cls = StateDependentNoiseDistribution if use_sde else DiagGaussianDistribution
-        cls(get_action_dim(action_space), **dist_kwargs)
+        return cls(get_action_dim(action_space), **dist_kwargs)
     elif isinstance(action_space, spaces.Discrete):
         return CategoricalDistribution(action_space.n, **dist_kwargs)
     elif isinstance(action_space, spaces.MultiDiscrete):