My understanding is that the Elves of Middle Earth, upon their ‘death,’ return to the halls of Mandos in Valinor to ponder their past life. When they are ready, they join their kindred in Valinor. They almost always choose to stay, and who wouldn’t? Middle Earth is a land of struggle, with evil and suffering everywhere, dominated by Men after the First Age. Valinor is a land of peace & plenty, with only Elves, and the Valar live there. Even on the island of Tol Eressea, they have peace, music, and a very good life.
Being immortal, the Elves of Valinor have the option to return to Middle Earth. Very few do. Glorfindel returned because he was needed, he was strong & wise & was a worthy addition to Elrond’s home. In the end it was his choice. Though of course he would have been discouraged.