We have to link ourselves with Krishna and not with the objects of the senses.
“In the material world we falsely try to link ourselves with the objects of the senses. Man wants to link with woman and woman with man, or one tries to link up with nationalism, socialism, capitalism or innumerable other creations of the illusory energy of the Lord. Since we are linking ourselves to temporary objects the relationships are temporary, the results are temporary, and at the time of death we become bewildered when all of our connections are suddenly cut off by māyā. If we link ourselves to Kṛṣṇa, however, our relationship with Him will continue even after death. As explained in Bhagavad-gītā, the relationship with Kṛṣṇa that we develop in this life will continue to increase in our next life until we achieve the supreme goal of entering Kṛṣṇa’s planet. Those who sincerely serve the mission of Caitanya Mahāprabhu, following the transcendental lifestyle prescribed by the Lord, will enter the Lord’s abode at the end of this lifetime.
One can never achieve a permanent situation by mental speculation, and what to speak of by ordinary material sense gratification. By the methods of haṭha-yoga, karma-yoga, rāja-yoga, jñāna-yoga, etc., one does not actually awaken his propensity for rendering eternal loving service to the Personality of Godhead. Thus, one is bereft of the transcendental tastes of spiritual enjoyment. Sometimes the conditioned soul, disgusted by his failure to gratify his senses, bitterly decides to renounce the material world and merge into an impersonal, painless transcendence. But our actual happy situation is to render loving service at the lotus feet of the Personality of Godhead. All of the different yoga processes gradually lead one to love of Godhead, and it is Lord Kṛṣṇa’s aim to re-establish the conditioned souls in this happy position. Caitanya Mahāprabhu is making this perfection easily available through the chanting of the holy name of Kṛṣṇa, the supreme yoga process for this age.”
Source: A.C. Bhaktivedanta Swami Prabhupada (2014 edition), “Srimad Bhagavatam”, Eleventh Canto, Chapter 07 – Text 14.