Where are the AirDrop files after transferring to Mac?
AirDrop defaults to the Downloads folder. When transferring from a device not associated with your iCloud account, i.e. someone else's iPhone or Mac, you may have the option to download to the Photos app for photos and videos. Check either of those and you should find the files.  

As noted by Phong in the comments, clicking on the notification will take you to the file in Finder.