Arjuna and Kunti devi are not in Krishna Loka

“To answer your second question, you should know that Arjuna and Kunti-devi are not in Krishnaloka. They are eternally associated with Krishna only in the material world. Just like Krishna is always in the spiritual world so similarly He is always in the material world and His pastimes are going on there also.

In the material world, Krishna also has eternal associates, such as Arjuna and Kunti-devi. There is a difference between the body and soul of Arjuna and Kunti-devi. But although Arjuna is with Krishna in innumerable different material universes at one time, still there is only one spirit soul who is Arjuna. This spirit soul expands into many different bodies and thus you can understand that there are also incarnations of devotees as well as incarnations of Krishna. This is the power of the spirit soul, that it is unlimited. Such conception cannot be understood while one is still in the conditioned state.”
(SPL to Saradiya, 12th December 1968)
“Your second question about falling down from the brahma-jyoti is answered that it is not that one must fall down, but that they generally fall down. There is a verse in the Srimad-Bhagavatam, (10.2.26) which says, “My dear lotus eyed Personality of Godhead, persons who are very proud of becoming one with the Brahman effulgence and thereby consider that they have become liberated are factually in a contaminated consciousness on account of the absence of devotional service unto You. Such persons may rise to a high level of spiritual understanding as far as the impersonal brahmajyoti but on account of the lack of devotional service unto You, they generally fall down again into material contamination.”
(SPL to Harer Nama, 21st December, 1968)