It's left unclear.
From the script:
SCENE 1 EXT. SOMEWHERE IN EUROPE--1926--NIGHT
A large, isolated, derelict chateau emerges from the darkness. We
focus on a cobbled square outside the building, shrouded in mist,
Five Aurors stand, wands aloft, tentative as they edge towards the
chateau. A sudden explosion of pure white light sends them flying.
We whip around to find their bodies scattered, lying motionless at the
entrance to a large parkland. A figure (Grindelwald) enters the frame,
his back to the camera; ignoring the bodies, he stares out into the
night sky as we pan up towards the moon.
The use of the word chateau suggests that it's in a French-speaking country, and the parkland/cobblestone suggests an old country estate. "Derelict" makes it sound like it's not where Grindelwald lives on a long-term basis; either somewhere he's squatting temporarily or simply somewhere the Aurors tracked him to. But other than that, the location of the attack is left (I would say) deliberately vague.