Navigate back from settings activity

override the onOptionsItemSelected method on your AppCompatPrefernceActivity and make it like this

   @Override
    public boolean onOptionsItemSelected(MenuItem item) {
        switch (item.getItemId()) {
            // Respond to the action bar's Up/Home button
            case android.R.id.home:
                super.onBackPressed();
                return true;
        }
        return super.onOptionsItemSelected(item);
    }

Vspallas answer is correct. The mistake was on my side. I had an onOptionsItemSelected method inside the preferenceFragment, not in the Activity. Mea culpa.