Yes, in Last Writings Tolkien says that Glorfindel's return very probably took place during the second age before the shadow fell on Numenor. It is said that he might have come to Middle Earth to aid Gil-Galad in the battles that occured following Sauron's forging of the One Ring. While Tolkien doesn't rule out the possibility of Glorfindel returning after the Change of the World, he deems it very improbable, saying that Manwë would have need special permission from Eru to allow it to happen.
-Voronwë
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"If you would be a real seeker after truth, you must at least once in your life doubt, as far as possible, all things." -- René Descartes
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