2 Kings 2:1 - 12
ESV - 1 Now when the Lord was about to take Elijah up to heaven by a whirlwind, Elijah and Elisha were on their way from Gilgal. 2 And Elijah said to Elisha, "Please stay here, for the Lord has sent me as far as Bethel." But Elisha said, "As the Lord lives, and as you yourself live, I will not leave you." So they went down to Bethel.
For follow-up discussion and general commentary on the topic. Comments are sorted chronologically.
Read John 3:13 to find out where Elijah really is. These are the words of the Son, our Savior. Elijah was taken by the Almighty to a secret burial location, where he is waiting to be resurrected when our Master and Savior returns.