He would have liked to be buried in Mother Russia, but not under the Soviets. They had robbed him of his family's property, and they had been robbing him of his royalties since 1918. He never forgave them for that. He rests in a cemetery just outside New York City, the place where he made his fortune.
Ironically, he's buried not too far from another Russian émigré, Ayn Rand. Neither of them thought highly of the Reds.