Christians have believed so since about 70 AD. And they were really cheezed when the interpretation of Daniel of an October 22, 1844 arrival of Jesus in the clouds didn't happen.
Not all of them - you forget about the amillennialists and postmillennialists, who have much different expectations re Christ's Second Coming than do the premillennialists (and especially the premillenial pretribbers). Pretribbers make up the lion's share of American Christians today, especially those in the arts and media. And they're the ones telling us we're in the last days, and have been for the last hundred years.
Supporting the amil and postmil camp, whole books have been written about the premillennial infatuation since 1917 with Russia and the Mideast, but such books are unpopular and largely ignored by the Christian Booksellers' Association, who instead favor pretrib premillennial authors like Hal "Late Great Planet Earth" Lindsey.
Hal Lindsey made a career out of his belief that the Second Coming would occur by 1988. In the 21st Century he's still trying to convince people he was right about 1988 (he now says that "God has extended his 'grace period'"), while subtly altering expectations for when Christ will actually return. A smarter -and-wiser-for-his-years Lindsey is altering his prophetic timetable to have us look much farther in the future - about a thousand years, i.e. until long after Hal Lindsey has cashed his royalty checks and has died.