Sri Chinmoy: No, they do not live on other planets. Each spiritual Master has his own plane in the inner worlds, like his own house. When their disciples die, if they were good disciples, then the Master says, "Come, come and stay at my place." But if they were bad disciples on earth, if they created problems and caused endless suffering for the Master, then he does not invite them. By accepting those disciples the Masters have suffered like anything on earth. Why do they have to suffer in Heaven also?
Ramakrishna has a place of his own. The Buddha also has one. Although I am here on earth, I also have a place. I have a few disciples there who were disciples from previous incarnations, some very sincere admirers and some of my relatives. Also one of my disciples from this incarnation who has died is there.