Back home, presumably.

[If they still have one, that is. That'd pose a bit of an issue for Sans himself, unless he's gettin' injected back somewhere earlier (or later?) in his personal timeline. But that's gettin' into some real complicated teleological stuff, and who's got time for that?]

Gods themselves don't really know how the Door works. Did some experimentin' with it a while ago, but, uh...didn't go so well.