For space aliens, look for them anywhere else other than Earth For earthly aliens they are anyone not from your country. People from the USA are aliens in Europe, UK, Spain etc
In their home country.
On another planet.
A planet.
Aliens stay in other planets, that's our belief. we don't know whether that planet , satellite/moon etc., has air, water and other necessary elements. If that planet resembles Earth then they can come to Earth or we can go there(In there view we are aliens!)
If you are asking about off Earth beings, Earth is the best place for them if they are exactly like us. God made humans in his likeness and image, so likely ET looks just like us humans.