Where did Philip die?

There are two Philips, the apostle (Acts 1:13) and one of the seven (Acts 6:5).

It appears that the second Philip settled in Caesarea:

But Philip found himself at Azotus, and as he passed through he preached the gospel to all the towns until he came to Caesarea. (Acts 8:40)

and:

On the next day we departed and came to Caesarea, and we entered the house of Philip the evangelist, who was one of the seven, and stayed with him. (Acts 21:8)

Beyond that, the Bible doesn’t say. There’s a collection of historical and/or mythical records of uncertain status about both. See the Wikipedia articles Philip the Apostle and Philip the Evangelist for an overview of that material.