The title refers to the Second Coming of Christ, as predicted in the Book of Revelation in the New Testament of the Bible. This book, also known as the Apocalypse, is one of the strangest, most violent parts of the Bible. It’s also inspired more than a few "end of the world" panic movements throughout history (remember Y2K?). It depicts the return of Christ to conquer Satan and the forces of evil, before presiding over a thousand-year reign of peace on Earth. Yeats loved to use wild symbols in his poems, so it’s no wonder that he was attracted to the Book of Revelation, which is chock full of ‘em.
Just to give a few examples, you’ve got the Four Horsemen, seven Plagues, a doorway to Heaven, and an evil beast called the Whore of Babylon. However, Yeats had other motives for referencing the Book of Revelation. For one thing, when he wrote the poem, World War I had just ended in Europe, and a lot of people were starting to take the idea of a "war to end all wars" more seriously. They were also worried about how to tell good and evil apart. Amid this pessimistic atmosphere, Yeats adds a sinister twist to the idea of the Second Coming in his poem, suggesting that the end of history might not be heralded by the return of Christ at all, but by the coming of the Antichrist – a symbol of violence and chaos in the world.