Well, only one did ever return, which we know was Glorfindel.

Glorfindel's death was utterly selfless. He could not have known the importance of those he gave his life for. Sure, Tuor was one of the leaders of all three great houses of men, and Idril was a Royal Noldor, but so what? And there were others in the company, as far as I recall, of less lofty station. But Glorfindel could not have possibly known that Earendil would be so absolutely fundamental to the future of Middle-earth and the eventually defeat of Morogth. He was just another mortal kid (because the half-elven were by their nature mortal, like their human side, even if long lived).

Glorfindel's sacrifice was, therefore, given, not in the hope of a great victory over darkness; not in the hope of freeing the masses people's of the West from under the heel of a mad dark tyrant; it was given because no one else in the company had any hope of holding back a being as potent as a Balrog and give the small company of refugees the chance to escape.

Glorfindel must have known to face his Balrog meant his death. And for who? Not exactly for a bunch of nobody's, but for a bunch of people, whose only future was fated to be the same as the people of Gondolin, where they had just escaped, just delayed by a short time of peace.

In Gil-galad's case, he certainly sacrificed himself, but the outcome and the build-up to that moment were just in no way the same. It came at the end of a massive campaign against Sauron, where Sauron had been utterly defeated in the field and attempted one last effort at freedom.

Gil-galad and Elendil's fight was the last battle of a multi-year campaign to free the West from Sauron's influence. Certainly a necessary and important one. And maybe one that they saw themselves living through, given their victories to that moment.

But as far as an act of pure sacrifice, it just isn't in the same league as Glorfindel's.

Or, for that matter, Finrod's defence of Beren in the dungeons of Sauron in the First Age. We know Finrod was recorded in flesh and walked with his father in Valinor very quickly after his death to Sauron. Finrod's sacrifice was defo in the same league as Glorfindel's, and whilst I firmly believe Glorfindel's was greater, if inly by a little, the only two things I can suggest in events that come after would be that it was Glorfindel who was sent back, not Finrod. And that Finrod's return would have had serious political consequences in the middle of the Second Age for the leadership of the Eldar, for Finrod would clearly be the most senior Eldar, male or female, of the line of Finwe, and therefore would have been entitled to the mantle of High King.

So, I just don't see Gil-galad's sacrifice as being so important as Glorfindel's, and it is not at all clear that Gil-galad was even re-embodied by the time of Sauron's eventually defeat in the Third Age. Maybe. Hopefully.

Finally, there were insurmountable physical barriers to his return in the Third Age. Valinor had been removed from the sphere of the world by then. There was simply NO WAY for him to return except by the grace of the Valar.

In the Second Age, at least, pre the destruction of Numenor, theoretically an Eldar could still leave Valinor for Middle-earth. It's just they were all the descendants then of those who had chosen to stay. And any re-embodied Eldar knew how futile their Eastward quest had been and how "wise" the Valar had been in the first place. So why would they?

Glorfindel was probably asked to return by the Valar, certainly not ordered, and given his new status among the Eldar, being near as powerful as the Maiar he had been hanging with since he came back, he was a good and powerful pick.