I've changed my mind on this topic several times, over the course of this blog. It is an important issue, and one where I think we probably need a coherent answer to avoid spirituality being sabotaged by corrosive doubt.
The general question has many specific versions. One is to ask where exactly Heaven is located - especially considering that Christians believe in resurrection, so that the vagaries of spirits being everywhere (and nowhere) are denied us.
Is Heaven (inhabited by the resurrected dead, walking-around...) up in the sky, outer space, a remote planet? All answers seem either evasive or absurd.
Another version is the Underworld (the Dwat), or the world after death (Sheol, Hades), the 'Inner World', the Collective Unconscious - or Collective Consciousness... people talk as if these are locations, or domains - but where? Why can't we detect them?
Then there is Faerie, Elfland - is that under a mound, in or through a forest, across the seas - or maybe on a different plane of existence through-which we must travel?
It is easy to reduce answers to absurdity; in a modern world where we assume we have explored the whole planet, and that 'scientific instruments' allow us to detect anything that is real.
I suggest here that, as so often when a question seem unanswerable - this is because we are asking the wrong question. We are assuming that The World is reality, and our knowing of that world is secondary (and optional) thing; an essentially passive matter of recognizing reality.
In other words, we are assuming that our minds have no significant role in the existence of reality, except to fail to notice it or to distort it - we assume that real reality (Kant's das Ding an sich: the thing-in-itself) is out there and 'solidly real', even when unthought, unperceived, unknown.
Yet this almost universal habit of thinking about reality is incoherent - therefore wrong (as demonstrated by, amongst others, Rudolf Steiner and Owen Barfeld). Instead, a coherent understanding of reality must include the consciousness of the knower.
(Without the knowing-consciousness of a being, there is only meaningless disorder - literal primordial chaos.)
This is Not to say that consciousness simply makes-up any reality it wants, a reality without any reference to anything out-there, because there is nothing out-there (ie. philosophical 'idealism') - it is instead to say there is no knowing, no knowable, without consciousness; so that consciousness and reality cannot be separated.
We may notice that this question "where are other worlds?" was Not regarded as a problem in much of the past in human history. The answer seemed obvious, or else an answer was not requested or required.
And the question was not a problem because people knew other worlds, people once perceived these other worlds for themselves - either on an everyday basis, or (later) in special states of consciousness induced by religious ritual, dreams, trances - or whatever.
That which is perceived is not regarded as unanswerable.
Therefore I conclude that the question is a product of changes in human consciousness.
We ask where other worlds are located because Modern Man no longer spontaneously perceives other-worlds, and has mostly lost the ability to perceive other-worlds.
In other words; Modern man cannot know the location of 'other worlds' because he has developed a mental block.
The other-worlds are still 'there', where they always were, but Modern Man is blocked from perceiving them by a change in his consciousness*.
Indeed, the other-worlds can still be perceived, but only in altered states of consciousness that, to some extent, undo the recent changes of consciousness - and diminish our level of consciousness.
Inner-worlds no longer impose on Men, that is why they are not perceived. To know inner-worlds for has become for Modern Men a matter of knowing, not perceiving.
A matter, that is, of direct-knowing.
We should not strive to 'see through' the blocks, nor to dissolve them away - because they are there for good reasons; instead we can think over and around the blocks.
In other words: Final Participation.
Then we will know where are other-worlds...
And the answer is: in this same world...
Where they have always been.
(*The reason for this change in consciousness is another matter, dealt with extensively elsewhere in this blog. In a nutshell, the mental block has the positive function of increasing freedom, agency; by removing us from the former state of automatic/ habitual, unavoidable and unconscious subjection to God's created reality. The mental block gives us the freedom positively to choose to align-ourselves with divine creation. In other words the block both imposes and gifts Modern Man's with personal responsibility for his spiritual affiliation.)