Before His death, Jesus repeatedly warned His disciples that He wouldn't be with them much longer. In fact, one reason He spent so much time teaching them was because "I am with you for only a short time, and then I go to the one who sent me" (John 7:33).
But Jesus also said they wouldn't be left alone -- because God Himself would come to be with them through His Holy Spirit. And that is exactly what happened on the Day of Pentecost. They were not left alone, nor was the world left without God's presence. Instead, God Himself came to live within them and surround them with His presence. Jesus' promise was fulfilled: "I will ask the Father, and he will give you another Counselor to be with you forever -- the Spirit of truth" (John 14:16-17).
Why didn't Jesus stay on earth? The main reason was because the work God had given Him was finished. Jesus came into the world to make it possible for us to be forgiven of our sins, and to go to be with Him in heaven. And He accomplished this by His death and resurrection for us. Shortly before His death, He declared, "I have brought you glory on earth by completing the work you gave me to do" (John 17:4).
But in another way God's work continues, as you and I tell others about His salvation. Are you asking God to use you to bring Christ to those who don't know Him?