The Bible tells us about "a great multitude which no one could number, of all nations, tribes, peoples, and tongues, standing before the throne and before the Lamb, clothed with white robes, with palm branches in their hands." (Rev. 7:9) "Then one of the elders answered, saying to me, 'Who are these arrayed in white robes, and where did they come from? And I said to him, 'Sir, you know.' So he said to me, 'These are the ones who come out of the great tribulation, and washed their robes and made them white in the blood of the lamb." (Rev. 7:13-14)
The rapture occurs before his return after the tribulation period. That’s when the millenial reign begins. Jesus does not return to earth immediately after the rapture.