UPS will use the currency that is enabled on your account. So if your site uses a different currency then the one which is set on the account, the rates won’t be returned. If the debug setting is enabled this will be indicated with a warning like:
[UPS] Rate for Standard (UPS) is in USD but store currency is EUR.
If you need to convert these rates to the correct currency we would suggest using the Multi Currency extension and setting up a conversion rate for both the account currency and the store currency.