Srimad Bhagavatam - Srikrishna's Mahaprasthan and Arjuna's Grief
Yudhistir becomes restless when he observes bad omens and tells Bhima that he is predicting something disastrous. Arjuna is yet to return from Dwarka, though he left seven months back.
Arjuna comes back from Dwarka with a broken heart. Knowing Arjuna's mind, Yudhistir asks whether each of their relatives are safe, including Devaki, Nanda, Srikrishna, and Balrama.
Arjuna said “ Krishna whom I considered as a friend, a guide, relative, a guru has left us. He has betrayed us by leaving us. He was the one who helped us at every stage of life, in every success that we enjoy today.
Probably, I never understood Him in the way I ought to. During the Kurukshetra war, I was just a puppet. The astras that were directed towards me by great warriors never reached me, but my astras were fully effective.
Srikrishna protected me from all sides even when I made a dangerous vow to kill Jayadratha by the next sunset. Krishna had to struggle to put him in front of me. Our horses were tired and had to rest and drink water. Nowhere to get water, and I had to get down from the chariot and release astra to dig the earth. All my enemies were watching me, but none could attack me because Krishna made them dumbfold. I quickly got back on my chariot and continued the war.
Now I feel empty without Him. Arjuna narrated several such incidents and finally removed his emotional burden.
Source: Bhagavatha Mahapurana