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They didn't really 'go' anywhere, it was symbolic. At that moment, Sephiroth stopped existing because Cloud's darkness could no longer sustain him, and without Sephiroth, Cloud could not exist because he no longer had a purpose. In other words, they both just stopped existing, or at least, on the plane of existance KH takes part on. Perhaps they became Nobodies.
I think they went to Advent Children But Starbucks makes more sense. I could definately see Cloud and Sephiroth chillin at Starbucks with a mocha latte... Oh wait... I saw them there! I went to Starbucks and i sat with them. I saw them at the mall too!!
No, but really, I think they went to Advent Children (yay!) or some other random place that the world may never know because it is KH and not FF.