Memory leak problem?

This code is an implementation of class member function. The whole code 
where the class and the member function is being used compiles and works 
as expected. The problem is that I am returning a pointer to a container 
     I created in this member function and I have not DELETED it. Does 
this not constitute a memory leak? How do I get around it without 
changing the signature of the member function?

Regards,

Philip O.

Code implementation of member function.
=======================================

vector<int> * kNN::classify(vector<vector<double> > &testvector)
{

	vector<int> *classVector = new vector<int>(testvector.size());
		
	vector<pair<int,double> > distance(numFeatures); // numFeatures is a 
data member of class kNN
	
	for (int i =0; i < testvector.size(); i++)
	{
		for (int j = 0; j < numFeatures; j++)
		{	
// pick up the class of the feature; it is the last element of the vector
			distance[j].first = int(trainData[j][vecLen-1]);
			//compute L2 distance between probe/testvector and each of the 
training vector
			distance[j].second = euclidean(testvector[i], trainData[j]);
		}
		//sort the distance vector in ascending order of magnitude
		stable_sort(distance.begin(), distance.end(), lessDistance());
		//pick the class with the most appearance in the top k entries
		(*classVector)[i]=k_vote(distance);
		
	}
	#ifdef DEBUG
	copy((*classVector).begin(), (*classVector).end(), 
std::ostream_iterator<int>(cout, " "));
	cout  << endl;
	#endif
	return classVector;
		
}