JW's never said Jesus was to return,as in to earth,in 1914.Thats a misconception on the part of those who do not know the entire truth.JW's believe that Jesus Christ came to rule as King of Gods Kingdom in 1914.This rule is in heaven,not on earth.The reason JW's believe this is because of what Gods Word says about it in the 2,520 year prophecy mentioned in the book of Daniel.
The 2,520 year prophecy states that after this period of time is when Jesus Christ will sit on the throne of Gods Kingdom.According to the 2,520 year prophecy in the book of Daniel this began with the last king appointed being Zedekiah.He was dethroned by King Nebuchadnezzar in 607 B.C.E. Jerusalem was under Babylonian control since 618 B.C.E. but Jerusalem fell in 607 B.C.E.
So,God said that there would be no more kings appointed to sit on His throne.Gods throne became vacant, and the line of kings who descended from David was interrupted.This 2,520 prophecy, better known as the Gentile Times prophecy, is the period of time that no kings appointed by God would rule as Gods representatives.Gentile kings would rule.
So if you go 2,520 years into the future from the year 607 B.C.E. you come to 1914 C.E. 606+1914=2,520
From October 607 B.C.E. to October 1 B.C.E. is 606 years. Since there is no zero year, from October 1 B.C.E. to October 1914 C.E. is 1,914 years. By adding 606 years and 1,914 years, we get 2,520 years.
Ok,so now we have the end year of the 2,520 year prophecy being 1914 A.D. or C.E.
One might say,so what,what does that prove? What event of great significance 
happened in the year 1914? WWI.There had never in the history of the world been a war that involved the entire globe.The world was at peace for a very long time and out of nowhere World War I erupted, literally over night.It started with the assassination of 
Archduke Ferdinand,heir to the AustroHungarian Empire.He was shot to death along side his wife on June 28th 1914,by Serbian nationalist,in Sarajevo Bosnia.

This is what sparked WWI.
WWI also introduced military warfare never ever seen before like:Submarines,Tanks,Airplanes,Machine guns,Flame throwers,Chemical's etc..

WWI happening tells us something.It also happening at the end of the "Gentile Times" prophecy proves something.It shows how Jesus Christ has taken control of the 
Kingdom of God ,and is reigning King on Gods throne.It coincides with what is spoken of in Revelation 12:9 about satan and his demons being cast down to earth.

It also says in 12:12 "Woe to the earth and the sea, because the devil has come down to you, having great wrath, knowing that he has only a short time."

It also says this in 1 Peter 5:8 "Be alert and of sober mind. Your enemy the devil prowls around like a roaring lion looking for someone to devour.


So we have the end of the 2,520 year prophecy ending as WWI is starting.God stated that at the end of this 2,520 prophecy is when Jesus Christ would begin ruling as King.
There has been more blood shed in the 20th century than all other 19 centuries combined.Satan the devil has been cast down to earth and this happened when Jesus Christ took the throne.According to Gods Word in the holy scriptures this only happened after the 2,520 prophecy has been fulfilled.This occurred in 1914.