Catechism of the Catholic Church §2794 — excerpt
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.
This translation is under copyright, so only the cited words are quoted here. Follow the link for the full text. Translation: English translation of the Catechism of the Catholic Church, 2nd ed. (Libreria Editrice Vaticana), as posted at vatican.va.
Also cites: St. Augustine, De serm. Dom. in monte 2, 5, 18: PL 34, 1277 · St. Cyril of Jerusalem, Catech. myst. 5:11: PG 33, 1117