That is because the ring belongs to Yami Bakura and Zork no matter what. It will always return to its master.
Actually, don't you remeraber the scene when Malik is making a deal with Bakura, Atem's life for the Millennium Puzzle? Malik, acting as a friend (I think he was using the name Isamu), was "carrying" Bakura saying that he was attacked by the Ghouls.
I haven't watched the series in about 3 years, but there really aren't that many plotholes that come to mind, at least in the Japanese version. I really only think that the stuff that happened in the Noa arc, DOMA arc, and Kaiba Grand Prix were the ones that had some plotholes, but the ones based off the manga did not.