You canceled the order, yet they shipped the cable anyway. Now, the competence of their shipping department not withstanding...
Notify them and ask them to have it picked up. Otherwise, don't touch it.
If they fail to have it picked up in a reasonable time (a week to 10 days, maybe 2 weeks) then consider it a gift. You may want to ask them a second time, though. Just to CYA in case someone finally figures out what happens and wants you to pay for their error.
I'd also suggest checking with your card issuer to make certain that they don't slip an unauthorized charge in. Of course, if they do, challenge it -- and put the onus on them to have the merchandise picked up.
Either way, though... it's their error. You should not have to pay a shekel in return shipping costs.