Where are logs created by drush_log() stored?
It's not. It's printed.

However, notices are by default not visible unless you increase the verbosity of drush using the -v option.

To display internal messages you'll need to enable debug option -d. This will display even more information.

Alternatively, you can change the message type parameter from 'notice' to 'ok' to print out to the console.

drush_log('xhprof link: ' . devel_xhprof_link($devel_run_id, 'url'), 'ok');