This biblical expression does not mean a place (“space"), but a way of being; it does not mean that God is distant, but majestic. Our Father is not "elsewhere": he transcends everything we can conceive of his holiness. It is precisely because he is thrice holy that he is so close to the humble and contrite heart.
"Our Father who art in heaven" is rightly understood to mean that God is in the hearts of the just, as in his holy temple. At the same time, it means that those who pray should desire the one they invoke to dwell in them.
"Heaven" could also be those who bear the image of the heavenly world, and in whom God dwells and tarries.
Source: Catechism of the Catholic Church (Vatican.va)