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Krishna was incarnation of Vishnu. In Mahaprasthanika Parva, it describes Yudhisthira entered heaven alive when Krishna dies which is the reason why Pandavas and Draupadi renounce the world. How was Yudhisthira able to enter heaven alive when Krishna, an avatar of Vishnu and Supreme Personality of Godhead did not go to Vaikuntha in his human body?

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Lord Krishna indeed went to Vaikuntha with his own transdental body.

Without employing the mystic āgneyī meditation to burn up His transcendental body, which is the all-attractive resting place of all the worlds and the object of all contemplation and meditation, Lord Kṛṣṇa entered into His own abode.(SB 11.31.6)

Srila Prabhupada Comments

Lord is is completely different from conditioned souls like yogīs since the Lord’s eternal, spiritual body is the source of all existence, as indicated here by the words lokābhirāmāṁ sva-tanum. Lord Kṛṣṇa’s body is the source of pleasure for the entire universe. The word dhāraṇā-dhyāna-maṅgalam indicates that those trying for spiritual elevation through meditation and yoga achieve all auspiciousness through meditation on the Lord’s body. Since yogīs are liberated simply by thinking of Lord Kṛṣṇa’s body, that body is certainly not material and therefore not subject to burning by mundane mystic fire or any other type of fire.

Śrīla Viśvanātha Cakravartī Ṭhākura reminds us of Lord Kṛṣṇa’s statement in the Eleventh Canto, Chapter Fourteen, verse 37: vahni-madhye smared rūpaṁ mamaitad dhyāna-maṅgalam. “Within the fire one should meditate upon My form, which is the auspicious object of all meditation.” Since Lord Kṛṣṇa’s transcendental form is present within fire as the maintaining principle, how can fire affect that form? Thus although the Lord appeared to enter the mystic yoga trance, the word adagdhvā indicates that the Lord, since His body is purely spiritual, bypassed the formality of burning and directly entered His own abode in the spiritual sky. This point has also been elaborately explained by Śrīla Jīva Gosvāmī in his commentary to this verse.

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