From Muppet Wiki

14 Sesame Street is the address of Mr. Johnson's apartment, as given over the phone to Speedy Pizza. Belying the theory that a man's home is his castle, the barely furnished apartment cannot prevent the arrival of the ever-cheerful Grover, who may appear in his capacity as a telegram messenger, pizza man, or wig salesman.

Presumably, Mrs. Johnson also shares this residence, although her current whereabouts are unknown.