We are searching after happiness, but in the material world you cannot have happiness. That is a fact. Whatever little happiness you get, that is also distress. One has to attain to that stage of happiness without distress. So that is a long history; everyone knows that happiness is not possible. But we arrange to get so-called… Happiness means sense gratification. That is not happiness. This place is not meant for happiness because in the Bhagavad-gita Krishna Himself says this is a place, dukhalayam ashashvatam [Bg. 8.15]. It is a place of miseries and temporary.
In the Bhagavad-gita, you will find: sukham atyantikam yat tad atindriyam grahyam. Atindriyam means beyond these material senses, transcendental, there is another happiness. That is transcendental bliss. That we perceive little bit while we are chanting. By chanting Hare Krishna Maha Mantra daily, when you'll be purified, then you will have the opportunity of tasting that transcendental bliss. Therefore, if you really want happiness, then you purify your existence and you'll get continued eternal happiness of bliss and knowledge in next life in spiritual world.
Since this temporary material world is full of the miseries of birth, old age, disease and death, naturally he who achieves the highest perfection and attains the supreme planet, Krishnaloka, Goloka Vrindavana, does not wish to return.