Since we all carry nifty little tracking devices everywhere we go now—sometimes just in our pockets, sometimes even strapped to our wrists—it's a great idea to check occasionally to see which apps and services know where you are. Depending on what permissions you give to an app, for example, it may be able to "see" your location when you open it up, or it might be watching where you are at all times. Even when you're at the gym. Even while you're visiting your sister. Even while you're in the bathroom.
Okay, apps probably don't care about that last one. But you never know.
Anyway, how you'll see what's using your location is different for the Mac than it is for the iPad and iPhone; on your computer, you'll start by clicking the Apple logo at the top-left of your screen, choosing "System Preferences," then selecting "Security & Privacy." Under that, choose the "Privacy" tab, then click the lock in the lower-left to authorize yourself to make changes.
After you do that, your Mac will make you type in your password or use your fingerprint for the authorization, but then, you can scroll down through the "Location Services" section to see if there's any app or service you want to hide your location from. If there is, deselect the checkbox next to it.
On your mobile devices, those options are available within Settings > Privacy > Location Services.
The controls there are a lot more granular. You can set some apps, for example, to know your location while you're using them instead of always having access. But if there's anything in the list that you don't trust, revoking its right to "see" where you are is a great way to protect your privacy.
That said, there's one big caveat: I really do not recommend turning location services off entirely. Some important applications use this data legitimately and safely, like Find My, Apple's way to help you locate a lost or stolen device. And turning location services off on your iPhone's camera, say, will prevent pictures from being geotagged, which will mean that searching for "Boulder" in your Photos Library won't bring anything up. Your Mac won't know if images were taken in Brazil or in Botswana. And I realize that doesn't sound too terrible, but trust me, it's far far less convenient that way. So just be careful about what you turn off!