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That was because of a war. The "holy" Silmarils were stolen, their leader was killed, and they wanted vengeance, something they could only get in Middle-Earth, and even then that was only because Morgoth had "set up shop" there. No elf has ever willingly sailed back to Middle-Earth by an uneffected mind. This is most important for Celebrian.
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"And forth went Morgoth, and he was halted by the elves. Then went Sauron, who was stopped by a dog and then aged men. Finally, there came the Witch-King, who destroyed Arnor, but nobody seems to remember that."
-A History of Villains
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