It's only in the Fourth Gospel, the latest of the canonical gospels, that Jesus says, "My kingdom is not of this world." By that time the generation who was to witness the Parousia had passed.

In the Synoptics, Pilate asks Jesus whether he is King of the Jews. Jesus, of course, says, "It is you who say it." This king was to be an earthly king. Jesus was executed for a crime against the state.