I used Search and Detain in the plot phase and my opponent had Cersei in play with a duplicate. Does the duplicate only go back to the hand ?

Daenarys said:

No. The character is being targeted. The character cannot be saved, so it is returned to it's owner's hand. The duplicate is then discarded for being an illegal card.

There are a couple of different possibilities, depending on which card you choose.

If you choose Cersei-the-character, then it works out like Kristoff said - since Seach and Detain is "cannot be saved," you do not have the option of discarding the dupe to prevent the character from being returned to hand. So the character returns to hand and the (unused) dupe is discarded.

However, if you choose Cersei-the-dupe (and you can; it is a card without attachments controlled by the first player), THEN the dupe goes to hand and Cersei remains on the table. (There is almost no reason for you to do this if it is your plot and your opponent is first player, though.)

So it is possible for you to get the result mentioned in the original post, but it is really unlikely if we're talking about your plot and an opponent's Cersei. You'd have to choose for it to happen.