The Bhāgavata says, to hear this transcendental līlā-kāhāṇī of Bhagavān Kṛṣṇa is all-auspicious. If you hear with full faith and concentrated attention, all of the material contamination in your heart will be purified. No other means is there. For this reason Bhagavān Śrī Kṛṣṇa descends here, though Bhagavān Kṛṣṇa has His eternal abode in the spiritual sky, known as sac-cid-ānandamaya-dhāma, a dhāma that is sanmaya, cinmaya, and ānandamaya – full of eternality, full of knowledge, and full of bliss. He is always there, engaged, completely absorbed in transcendental līlā, especially in rāsa-līlā He enjoys and relishes the mellow. Why will He come to this material world which is not His dhāma, abode? It is completely opposite to that transcendental sac-cid-ānandamaya-dhāma. This material world is asat-, acit-, and nirānanda-maya—it is temporary, full of ignorance and misery. Why will He come here? What business does He have coming here?
(A lecture delivered by Sri Srimad Gour Govinda Swami Maharaja on Śrī Kṛṣṇa Janmāṣṭami 18th August 1995 in Bhubaneswar, India.)