The living entity simply wanders throughout the planets looking for permanence. It is our nature to be sheltered by something permanent. But the material world is temporary and filled with suffering; by its nature it does not allow for permanence. Therefore, whatever relationship we establish with this world will not fully satisfy the self, because the self is satisfied only by permanence. Thus Srila Prabhupada encouraged us to go back home, back to Godhead.
(LFD, Vol2, Glories of the Holy Name, Pg 63, 2nd paragraph)