We don't go anywhere. The word 'go' is being completely misapplied here. Asking "where do we 'go' when we die?" is like asking "what is further north of north?"
We didn't come from anywhere when we were born, & we don't go anywhere when we die. If people can accept that we didn't exist before birth, & that our personality is an emergent property of our brain (which most people do), then why do so many find it difficult to accept that when the brain dies, our personality dies with it? I think the rational part of their brain does accept it to be honest, it's just the irrational survival driven part of the brain that can't handle it.