It does not return a "deep copy" because there is no copying done at all, at least, not at the object level. Let me explain.
When you have an instance of an object, the variable that references that object is a pointer to the object. The object can be referenced and modified by many variables (pointers). Observe the following code:
// Let's assume I have a custom object class called Student
// Here the object is created and s now points to the new Student object
Student s = new Student();
// Here I create another variable that points to the same object
Student s2 = s;
Those two variables both point to the same object and any changes that one variable makes to the object will then be reflected in the other.
This ties into your list example. If you have a LinkedList of objects, it is actually a list of pointers to objects. So calling get(2) on the list will get a reference to the 3rd object in the list. The object that it's referencing is the object, not a copy. So any references, variables, methods etc. that were in this object will still be there.
I hope that answers your question :)