In the default Sorcerer setting, Demons are from Not-Here.

So... where's "Not-Here"?

Hell?

Here.

Some other dimension?

Here.

The seething Collective Unconscious?

Here.

If the place Demons are from can be defined in any real sense, it's still "Here." "Here" is the Explainable. As soon demons possess origins or nature or a context in the human scheme of things, they aren't demons. Not-Here cannot, by definition, be accounted for.

If one wants to use terms like "Hell," "other dimension," or "Collective Unconscious" for that concept, then that works. But in gamer terms, that's not what's happening. For most gamers, using terms like that tames demons; it makes them belong to the set of boxed-universes or boxed-concepts, such that they skip from one part of Here to another part of Here.

Think of Not-Here as something that not even the Creator, if any, would acknowledge or include in reality of any kind.

In an open set that includes all of creation, Demons are not included. [1] [2]