During Morgoth's attempt to break Húrin, he tells Húrin that nothing exists outside the Circles of the World. While Morgoth knows better since he started out in the Timeless Halls with his fellow Ainur and Eru before going into Ëa, the context of his retort has to do with whether Men have an afterlife. What happens to Men after they die is known only to Eru, so Morgoth genuinely doesn't have a clue.
