The Kingdom of God will be on earth. Jesus will return to earth (e.g., Acts 1:11) and become King on David’s throne in Jerusalem (Luke 1:32-33). Jeremiah prophesied about Jesus as king (calling him a “righteous Branch”):
5 “Behold, the days are coming, declares the Lord, when I will raise up for David a righteous Branch, and he shall reign as king and deal wisely, and shall execute justice and righteousness in the land. 6 In his days Judah will be saved, and Israel will dwell securely. And this is the name by which he will be called: ‘The Lord is our righteousness.’ (Jeremiah 23:5-6)
Note that he shall be king “in the land” (not in heaven).
All the saints (i.e., believers) will be part of the kingdom on earth:
and you have made them a kingdom and priests to our God, and they shall reign on the earth.” (Revelation 5:10)
That is why Jesus taught us to pray “Your kingdom come” (Matt 6:10).
For further information, see The Kingdom of God on Earth.