The airline transport pilot of the commercial air medical flight reported that during a climbing left turn on departure, he heard a “thud.” He confirmed with the crew they had not dropped anything, and they affirmed they had not. The pilot believed the helicopter had hit something and elected to return to the departure airport. The pilot scanned the air to find what they could have impacted but did not see anything and then assumed a cowling had become unlatched due to the cold and vibration. He landed and left the helicopter running while the crew looked over the helicopter. At this time, the pilot was notified the trip was cancelled so he shut down, refueled, and moved the helicopter into the hangar. Once in the hangar, the pilot noticed the leading edge of the main rotor blade was a dented with a hole through the blade just aft of the dent. What caused the substantial damage to the main rotor blade was not determined. The pilot reported there were no preaccident mechanical malfunctions or failures with the helicopter that would have precluded normal operation.