Once the emperor of heaven, Devraj Indra, had committed a great offence for which his Gurudeva cursed him to take birth as a hog. Immediately, he became a hog and the throne of heaven was vacated. The demigods became disturbed and approached Sri Brahma for assistance.
‘Who will govern us?’ They asked. ‘Our emperor has become a hog. Our Gurudeva has cursed him.’
So Brahma said, ‘All right! let me go and fix the situation.’
The Brahma came to the world. Being omniscient, he recognized Indra in the body of a particular hog. This hog was surrounded by his wife and many piglets.
Brahma said, ‘Oh my dear sir, you are not a hog! You are the emperor of heaven! Why have you come here? Come along! Take the throne and govern your kingdom of heaven.’
Then the hog replied, ‘Who are you? I do not believe your words. I have such a nice, beautiful wife and children. I have so much responsibility. I cannot go.’
In the same way, the Supreme Lord Sri Krishna appears in this world and asks, ‘What are you doing here?’ Give up all these material things and take absolute shelter of Me. I shall rescue you from all sins. ‘ (Sreemad Bhagvad Geeta 18.66)
But we say, ‘Why have you come here? Who are you?’
We do not believe Him. Out of affection He comes to us, but we say, ‘Who are you? I have such a nice wife and children. I cannot give up these attachments. I have so much responsibility.’
Source: Droplets of Nectar from Srila Bhakti Ballabh Tirtha Goswami Maharaj (Vol. 2)