Most of those died or left back again when the Doom of Mandos was lifted at the end of the First Age (roughly 6,000 years prior to the Lord of the Rings) and most of those who remained (like Gil-Galad) where born in Middle-Earth. There' is a good chance that Glorfindel and Galadriel (and Celeborn depending on which of his backstories you like best) are the sole remaining Calaquendi in Middle-Earth by the time of the Lord of the Ring.
EDIT: On Tolkien confirming Glorfindel being one and the same, my source is the fan site Tolkiendil (in french), who credits History of Middle-Earth, volume 12: the people of Middle-Earth as their source. I can't confirm myself since for some reason there are no translation of the HoME books after the sixth.