In Shri Krishna serial, Lord Krishna and Radha are in Go Lok, while Lord Krishna's avatar is on Earth.
What is translation of Go Lok? I know Trilok is "three worlds"
Lord Krishna's own abode in the eternal spiritual world above this material world is called goloka (go -- cow; loka -- world, planet), meaning literally "cow-world".
There are many cows there and Lord Krishna enjoys his eternal pastimes there as a cowherd with gopas (cowherds) and gopis (cowherd girls), among which the most prominent gopi is Sri Radha, Lord Krishna's the most beloved.
The position of goloka can be nicely seen from the Lord Brahma's prayers offered in glorification to Lord Krishna in the Brahma-samhita 5.43: http://www.vedabase.com/en/bs/5/43
"Lowest of all is located Devī-dhāma [mundane world], next above it is Maheśa-dhāma [abode of Maheśa]; above Maheśa-dhāma is placed Hari-dhāma [abode of Hari] and above them all is located Kṛṣṇa's own realm named Goloka. I adore the primeval Lord Govinda, who has allotted their respective authorities to the rulers of those graded realms."
The entire spiritual world called Vaikuntha, which is above this material world called the Devī-dhāma "mundane world", is eternal and it is made of spiritual nature, namely it is not material. The material world where we live will be destroyed because it's a temporary place of death and destruction. Goloka is the highest planet in the spiritual world, and is eternal place of liberation (moksha) and immortality, ie the state of existence without destruction, death and samsara (repeated births and deaths).
Lord Krishna's own abode Goloka is not a material planet!
Besides three worlds (Swarga Loka, Bhuloka, Patal Loka), many other Loka exists where various gods and deities reside. Like, Brahmaloka (abode of Lord Brahma), Vaikuntha (abode of Lord Vishnu), Kailash (abode of Lord Shiva), Suryaloka (abode of Son god), Chandraloka (abode of Moon god) and many more. Similarily, Goloka is the abode where Lord Krishna live with Devi Radha and many celestial cows.
For explanation, you make take a look at SB 10.27.1.
govardhane dhṛte śaile
āsārād rakṣite vraje
go-lokād āvrajat kṛṣṇaṁ
surabhiḥ śakra eva ca
After Kṛṣṇa had lifted Govardhana Hill and thus protected the inhabitants of Vraja from the terrible rainfall, Surabhi, the mother of the cows, came from her planet to see Kṛṣṇa. She was accompanied by Indra.
Word 'Go' has multiple meanings. Here is a couplet: गो गोविन्द दिक्पाल दिक्, स्वर्ग वज्र खग छंद गो धर गो तरु गो किरण गो गोपाल गोविन्द Which means, 'Go' means Krishna, Dikpala (Protectors of Directions), Directions, Heaven, Vajra (Mythological weapon of Indra made out of bones donated by Dadhichi), Bird, Meter, Earth, Tree, and Sunray