I dream of my cat, who left on October 10th last year. In most dreams, I realize that she is dead... The first time, I was like "how can this be", but in all dreams after that I knew she was dead and coming to visit. It was all very lucid. In one of the last dreams she was in, months and months ago, she came up on my bed with a young kitten. I take it as her way of saying she'll be back someday.
And I do believe they come back, or at least can. Maybe some of them wait, maybe some are too impatient. But it's some sort of comfort.