Bhagavad Gita 9.21

ते तं भुक्त्वा स्वर्गलोकं विशालं क्षीणे पुण्ये मर्त्यलोकं विशन्ति ।
एवं त्रयीधर्ममनुप्रपन्ना गतागतं कामकामा लभन्ते ॥ २१ ॥
te tam bhuktva svarga-lokam visalam ksine punye martya-lokam visanti
evam trayi-dharmam anuprapanna gatagatam kama-kama labhante

After enjoying heavenly delights their merit is ultimately exhausted and they take rebirth in states of mortal existence. In this way they come and go, these passionate people following the Veda and observing all the proper rules of worship of the gods. They keep getting born and they keep dying in material existence, over and over and over again. 

Srila Bhakti Sundar Govinda Maharaj: 

Sri Krishna says, “After enjoying great, heavenly happiness the residents of heaven again enter the human plane of existence.” 

We are moving in such a way throughout the mundane world, the brahmanda. But Krishna is searching for us: “Where is that soul who misused his freedom?” He sees everything, but He does not interfere. The only reason He does not interfere is that He wants that each one will willingly serve Him.

When someone crosses over illusion and enters the transcendental world, particularly the super-service section which is under the guidance of madhura-rasa, Krishna embraces that devotee, “Oh, after so long I am seeing you. I know service to Me is your life’s goal, and now after so long you have come to your home. I have been always wondering when you will come.” Such is Krishna’s nature.