It wasn't spoken to the Witch-King - he had fled just before that. Glorfindel was speaking to Eärnur who wanted to challenge the Witch-King.
Quote:
Eärnur now rode back, but Glorfindel, looking into the gathering dark, said: "Do not pursue him! He will not return to this land. Far off yet is his doom, and not by the hand of man will he fall." These words many remembered; but Eärnur was angry, desiring only to be avenged for his disgrace.
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The Lord of the Rings, Appendix A 'Annals of the Kings and Rulers', I 'The Numenorean Kings', iv 'Gondor and the Heirs of Anarion'