Prabhupada's lecture - Śrīmad-Bhāgavatam 1.15.32 - Los Angeles, December 10, 1973
In another place Kṛṣṇa says, tyaktvā dehaṁ punar janma naiti mām eti kaunteya: [Bg. 4.9] "My dear Kaunteya, Arjuna," tyaktvā deham, "after giving up this body," punar janma naiti, "no more coming into the womb of material mother." Then where does he go? Mām eti. In his Bṛhad-bhāgavatāmṛta Sanātana Gosvāmī has stated that if you become perfect in Kṛṣṇa consciousness, then immediately after death you will be sent where Kṛṣṇa is having His pastimes within this material world. In the material world, just like the sun rotates, similarly, Kṛṣṇa's pastimes is going on. That is another feature of His activities. Because He wants to reclaim the fallen souls, and there are millions and trillions, unlimited fallen souls within this material world, so He goes everywhere. Yadā yadā hi dharmasya glānir bhavati bhārata, tadātmānaṁ sṛjāmy aham [Bg. 4.7]. As soon as there is discrepancies in the understanding of eternal life, He appears. He teaches.
So Kṛṣṇa is teaching somewhere. There are so many innumerable universes. Just like Kṛṣṇa takes, appears, as janma, janmāṣṭamī in this universe, immediately in another universe there is janmāṣṭamī; immediately in another universe there is janmāṣṭamī. So therefore it is called nitya-līlā. Nitya-līlā means the janmāṣṭamī is going on. His govardhana-līlā is going on. Everything. Everything, what He displayed when He was present, that is going on. Just like the sun. Now it is half past seven. Now, half past six, there is sun somewhere. The half past six, it is not that because the sun has passed half past six, in this country, therefore there is no more half past six. Half past six is somewhere. Is it not? Half past six is there. Similarly, it is not that because Kṛṣṇa has now finished His janmāṣṭamī, therefore no more janmāṣṭamī. Janmāṣṭamī is going on. This is kṛṣṇa-līlā.