Mal 4:5 "See, I will send you the prophet Elijah before that great and dreadful day of the LORD comes. (NIV)

According to Jesus, Elijah did come. He was John the Baptizer.
Matt 11:13-14
13 For all the Prophets and the Law prophesied until John. 14 And if you are willing to accept it, he is the Elijah who was to come. (NIV)

Are you willing to accept it? And again,

Matt 17:10-13
10 The disciples asked him, "Why then do the teachers of the law say that Elijah must come first?"
11 Jesus replied, "To be sure, Elijah comes and will restore all things. 12 But I tell you, Elijah has already come, and they did not recognize him, but have done to him everything they wished. In the same way the Son of Man is going to suffer at their hands." 13 Then the disciples understood that he was talking to them about John the Baptist. (NIV)

And it's fine to say we're in the last days, since the New Testament writers, apostles and prophets, said that they were already living in the last days, since Jesus has ascended into heaven.

Acts 2:16-17
16 No, this is what was spoken by the prophet Joel:
17 "`In the last days, God says,
I will pour out my Spirit on all people.
Your sons and daughters will prophesy,
your young men will see visions,
your old men will dream dreams. (NIV)

Heb 1:1-2
1:1 In the past God spoke to our forefathers through the prophets at many times and in various ways, 2 but in these last days he has spoken to us by his Son, whom he appointed heir of all things, and through whom he made the universe. (NIV)

James 5:3 Your gold and silver are corroded. Their corrosion will testify against you and eat your flesh like fire. You have hoarded wealth in the last days. (NIV)