Complicated 'double' contextual and relationships view
I would create a View of the Content Type Location (these are the nodes created by your users, right?).


Create a Relationship to Author. 
Create a Filter to user: current and select Yes in Is the logged in user (NB: this a a regular filter, not a Contextual Filter)
Create a Relationship to the Event type through its reference field to Location (NB: select Entity Reference: Referencing Entity . If you select "Require this relationship" the View will limit the Location types to only those referenced in an Event node
Add any field to the View, but be sure to select the relationship you created in 3 above to show field from the Event type


That's it! Nice question!