Here is a Mystery revealed by Lord Jesus, Apostles Paul and Peter, and the Old Testament prophet Zechariah, about the DAY of Lord Jesus' ONLY coming on the LAST DAY of this present world.
The "day of the Lord" phrase which Apostle Paul used is about the 'day' of Christ's coming to gather His Church, and then immediately goes to the Mount of Olives, east of Jerusalem, per Zechariah 14.
1 Thess 5:1-9
5 But of the times and the seasons, brethren, ye have no need that I write unto you.
2 For yourselves know perfectly that the day of the Lord so cometh as a thief in the night.
In the previous 1 Thessalonians 4 chapter, Apostle Paul gave events of Jesus' coming to gather His Church on the last day of this world. The 1 Thess.4:16 verse emphatically reveals that to be the last day, because Paul shows the asleep saints being resurrected on that day of Christ's coming. Paul calls that day the "day of the Lord" here in 1 Thess.5.
Not only does Paul make it plain that "day of the Lord" is the last day of this world when Jesus comes to gather His Church, Paul also reveals the metaphor "as a thief" that Lord Jesus Himself used for that day of His future coming (see Matthew 24:42-47).
3 For when they shall say, "Peace and safety"; then sudden destruction cometh upon them, as travail upon a woman with child; and they shall not escape.
Paul then recounts the Old Testament prophecy about a destruction upon the earth by God on that coming "day of the Lord", the last day of this present world. That is how those Thessalonians already knew about the "times and the seasons" regarding the end of this world, for most of what is written in The New Testament about the end of this world was covered first in the Old Testament prophets, and the Old Testament Scriptures is all they had for Bible study in Paul's day.
4 But ye, brethren, are not in darkness, that that day should overtake you as a thief.
5 Ye are all the children of light, and the children of the day: we are not of the night, nor of darkness.
6 Therefore let us not sleep, as do others; but let us watch and be sober.
Christ's Church is not... to be spiritually asleep and in darkness about those "times and the seasons" for the end of this world. We are to understand them. This is why Lord Jesus and His Apostles gave us the SIGNS of the end of this world leading up to Lord Jesus' coming on the last day, as a thief in the night, on the "day of the Lord".
7 For they that sleep sleep in the night; and they that be drunken are drunken in the night.
The deceived, are those whom Paul mentioned above that will be saying, "Peace and safety" at the very end of this world. Per the Daniel 7 & 8 prophecies, the coming time of great tribulation is to be a time of world peace, with the coming pseudo-Christ working great signs, wonders, and miracles, solving all... the world's problems. That is why Paul here says the deceived will be proclaiming that "Peace and safety" at the end, when God's "sudden destruction" on the "day of the Lord" comes upon them.
8 But let us, who are of the day, be sober, putting on the breastplate of faith and love; and for an helmet, the hope of salvation.
9 For God hath not appointed us to wrath, but to obtain salvation by our Lord Jesus Christ,
KJV
Since Paul linked that "sudden destruction" upon the wicked and deceive above, on the last day of this world, then WHAT WRATH is Paul pointing to there? It is GOD'S WRATH on the LAST DAY, a "sudden destruction" upon the wicked and deceived. And to them, it will come "as a thief in the night". But for those who remain faithful waiting on Lord Jesus to come, that day will NOT take us by surprise.
In 2 Peter 3:10, Apostle Peter revealed on that same day of Christ's coming, "as a thief in the night", that "day of the Lord" will accompany God's consuming fire burning man's works off the surface of this earth. That is the "sudden destruction" upon the wicked and deceived that Paul was pointing to on the day of Christ's return.
Within the 6th Vial timing of Revelation 16:15, Lord Jesus Himself even warned His Church that He comes "as a thief". The battle of Armageddon He fights against the armies that come against Jerusalem on the last day then happens on the 7th Vial.