Lots of Ahmadis don’t understand this simple concept.  They are taught to question the idea that if Esa (as) is to phsyically return to Earth, then in-fact, Esa (as) is the last prophet and not Muhammad (saw).  However, as the facts will prove, Muhammad (Saw) is the last prophet in terms of the bloodline of prophets which ended upon the death of Muhammad (saw).

The data
33:40(revealed in roughly 6-7 A.H.) of the Quran tells us that Muhammad (saw) was not the father of any men in the whole world, and this was done purposely, since he is the “last of all the prophets” or the “sealer of all the prophets”.  Khatam is used here, it also used in 2:7, as Allah set a permanent seal on hearts, ears and eyes of some people.  Based on usage, however, it can also mean the last of the prophets.

A few years later, Muhammad (Saw) has a son
Muhammad (saw) married an egyptian woman (roughly 8, A.H.) and had a son named Ibrahim (ra).  This birth seemed to have contradicted 33:40, however, the son died shortly thereafter, and many hadith were recorded with the insinuation that Ibrahim (ra) may have died so as to confirm that Muhammad (saw) was in fact the Final prophet.

Does Esa’s (as) return contradict 33:40?
MGA had heard this argument, he knew from his days in Sialkot.  Christians and Hindus may have pointed this contradiction, nonetheless, MGA remembered it and used it against the ulema as for many years.  Nonetheless, Esa (as)’s return has no bearing on Muhammad (saw) being the final prophet, since Esa (As) was born before Muhammad (saw).

Ahmadis are brainwashed to think a certain way, to question many things about Islam and thats the psychology here.  I just wanted to type this up as a matter of fact.