“In Bhagavad-gītā (4.9) the Lord says, tyaktvā dehaṁ punar janma naiti mām eti: after giving up the material body, the devotee of the Lord returns home, back to Godhead. This means that the devotee is first transferred to the particular universe where the Lord is at that time staying to exhibit His pastimes. There are innumerable universes, and the Lord is appearing in one of these universes at every moment.
Therefore, His pastimes are called nitya-līlā, eternal pastimes.”
–Śrīmad-Bhāgavatam 10.1.23