Jesus left, but He did not leave us alone, but left us the Comforter, the Holy Spirit who will be with us to the end.
But the Holy Spirit will not only be keeping us company, but he will be fulfilling a task on earth and Jesus explains very clearly in the book of John what would be the task that the Holy Spirit would be carrying out in this world:
7 Nevertheless I tell you the truth; It is expedient for you that I go away: for if I go not away, the Comforter will not come unto you; but if I depart, I will send him unto you.
8 And when he is come, he will reprove the world of sin, and of righteousness, and of judgment:
9 Of sin, because they believe not on me;
10 Of righteousness, because I go to my Father, and ye see me no more;
11 Of judgment, because the prince of this world is judged.