FORTH can do it indeed, by manipulating the return stack directly. For example:

: foo ( -- )  ." enter foo" cr  rdrop exit  ." exit foo" cr  ;
: bar ( -- )  ." enter bar" cr  foo    ." exit bar" cr  ;
: baz ( -- )  ." enter baz" cr  bar    ." exit baz" cr  ;
[download]

gives the output:

enter baz
enter bar
enter foo
exit baz
[download]

If your forth doesn't have rdrop, use r> drop or define it with: : rdrop r> r> drop >r ;

I also strongly recall having seen words specifically for this purpose, but I can't find one in this forth (maybe they left it out in modern implementations)