John 14:5 - Coke's Commentary on the Holy Bible

Lord, we know not whither thou goest;— "We know not where thy Father's house stands, and consequently cannot know the way to it." It is probable that Thomas might think that Christ intended to remove to some splendid palace on earth, to set up his court there for a while, before he received his people to the celestial glory: for it is certain that his thoughts, as well as those of the rest of the disciples, principally turned upon a temporal kingdom.