Muslims believe that God's messenger Jesus, son of Mary, on whom be peace, did not die yet. God tells us in His own words that Jesus was raised up by God and that he was neither killed nor crucified (see Qur'an 4:157-158). Furthermore, God tells us that in order to foil the plans of the unbelievers, God recalled Jesus and raised him up (see Qur'an 3:55). Muslims understand from these Qur'anic passages that Jesus did not die.
Muslims believe that Jesus will be coming again. A common explanation of verse 159 of Surah 4 in the Qur'an is that when Jesus returns, the people of the book will each believe in Jesus as he really is. Another verse in the Qur'an calls Jesus, on whom be peace, a sign of the day of Judgement (see Qur'an 43:61). This was further explained by the prophet Muhammad, on whom be peace, when he said that Jesus's return will be a sign that the day of Judgement is near.
God alone knows the full wisdom behind what He does. We can only try to understand some of the reasons. With God's help we can point to several reasons why Jesus will be coming again. One reason is that when the angel Gabriel announced to Mary about the birth of Jesus, he prophesied that Jesus will speak to mankind while he is a baby and again when he is mature (see Qur'an 3:46). The Arabic word Kahlan here translated 'maturity' actually refers to a maturity at 40 years old. When Jesus comes back he will live to this age and the prophecy will be fulfilled. Jesus also foretold his death (see Qur'an 19:33). This too will be fulfilled when he returns, and Jesus will be buried in Medina near his brother in faith, the last prophet, on whom be peace.
Another reason for Jesus's second coming is that he will be honored with the opportunity to personally correct the belief of his people. Too many have disbelieved and rejected him. Many others have believed incorrectly about him. When he returns, everyone will believe in him correctly. Yet another reason for his coming is that some of his teachings have been forgotten (see Qur'an 5:14), and replaced by misguided teachings (see Qur'an 5:77, 9:30). Jesus will have the honor of breaking the symbols of such false teachings and dramatically confirming his true teachings which were also taught by his brother in faith, the last prophet, on whom be peace.
A further reason is that in the last days an evil man called the Antichrist will arise. He will spread much corruption on the earth. Jesus will return to slay this man and restore peace on earth.
As to why Jesus alone and no other prophet will come back is for God alone to say. The above are only a few indications.
Finally, we must admit that Jesus, on whom be peace, was very unique. His entry into the world was unique, his departure was unique, and his return will be spectacular. The Qur'an rightly calls him "illustrious in the world and the Hereafter, and one of those brought near (unto Allah)" (Qur'an 3:45).