In Peter's days, they asked Peter also, 2 Peter 3:
3 Above all, you must understand that in the last days scoffers will come, scoffing and following their own evil desires. 4They will say, “Where is this ‘coming’ he promised? Ever since our ancestors died, everything goes on as it has since the beginning of creation.”
This is his answer:
8 But do not forget this one thing, dear friends: With the Lord a day is like a thousand years, and a thousand years are like a day. 9The Lord is not slow in keeping his promise, as some understand slowness. Instead he is patient with you, not wanting anyone to perish, but everyone to come to repentance.
The you here refers to individuals alive then as well as believers in future generations.
Apparently, the "delay" has to do with God's patience. In the meantime, these are our believers' responsibilities:
11 Since everything will be destroyed in this way, what kind of people ought you to be? You ought to live holy and godly lives 12 as you look forward to the day of God and speed its coming.
14 So then, dear friends, since you are looking forward to this, make every effort to be found spotless, blameless and at peace with him.
17 Therefore, dear friends, since you have been forewarned, be on your guard so that you may not be carried away by the error of the lawless and fall from your secure position. 18 But grow in the grace and knowledge of our Lord and Savior Jesus Christ. To him be glory both now and forever! Amen.
God is giving more time to more believers the opportunity for sanctification.