Just want to share some further on this.
could the "DAY", (On that day many will say to me, ‘Lord, Lord...), that Jesus is here speaking of, is the Day when He shall return, at the Beginning of His Millennium Reign?
"For this is a manifest token of the righteous judgment of God, that you may be counted worthy of the kingdom of God for which you also suffer, since it is a righteous thing with God to repay tribulation to those who trouble you, and to give rest with us to you who are troubled, at the revealing of the Lord Jesus from Heaven with the angels of His power, in flaming fire taking vengeance on those who do not know God and who do not obey the gospel of our Lord Jesus Christ, who shall be punished with everlasting destruction from the presence of the Lord and from the glory of His power, when He shall come to be glorified in His saints and to be admired in all those who believe (because our testimony among you was believed) in that Day." (2 Thessalonians 1:5-10)
Those in Matthew 7, had not died as yet, and are before the Lord in Judgement for the things that they had done in their lifetime.
"According to the grace of God which is given to me, as a wise master builder, I have laid the foundation, and another builds on it. But let every man be careful how he builds on it. For any other foundation can no one lay than the one being laid, who is Jesus Christ. And if anyone builds on this foundation gold, silver, precious stones, wood, hay, stubble, each one's work shall be revealed. For the Day shall declare it, because it shall be revealed by fire; and the fire shall try each one's work as to what kind it is. If anyone's work which he built remains, he shall receive a reward. If anyone's work shall be burned up, he shall suffer loss. But he shall be saved, yet so as by fire" (1 Corinthians 3:10-15)
Which is probably when Jesus shall separate the Sheep from the Goats?
"But when the Son of Man comes in His glory, and all the holy angels with Him, then He shall sit on the throne of His glory. And all nations shall be gathered before Him. And He shall separate them from one another, as a shepherd divides the sheep from the goats" (Matthew 25:31-32)