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Glorfindel would have had to have returned before Numenor sank, he most likely returned before the war that ended the First Age, with the host from Valinor that was sent to defeat Morgoth. After Numenor fell, and The Undying Lands were removed from the confines of the world, none but the Istari sailed out to Middle Earth.
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From what I recall the discussion of Glorfindel in HoMe XII suggests that he came back sometime in the second age. I think it still would have been possible for him to come back after the change of the world, though, since the Valar sanctioned his trip.