Old woman, you totally tell the best stories. Why you tell them, we'll never know.
#WitchInTheWoods
The issue is not definitely settled in the writings. One theory is that there is a second Glorfindel but that is unlikely because the Elves were immortal. The second theory, probably the most likely, concerns a 'holding realm' for the immortal dead under the rule of Mandos, the Valar Master of Doom. By this theory, Glorfindel, due to his valor in facing a Balrog, was recalled to the world of Middle Earth - as was Gandolph - for one more service: to face the Nazgul.
Presumably Glorfindel later returned to the Halls of Mandos to await the final judgment. The Elves were immortal and being 'killed' only removed them from the active world of Middle Earth AND Valinor, the Undying Lands. The Halls of Mandos are presumed connected with Valinor in some undefined relationship.
Old woman, you totally tell the best stories. Why you tell them, we'll never know.
#WitchInTheWoods