They didn't believe in any deity's so they wouldn't go to specific realms.
But they also weren't killed by the DB so they're likely not in "the void".
Somewhere in oblivion is most likely but it hasn't been revealed if the dwemer have a place to go in death (or if they even go to their death realm because the just disappeared)
Would be interesting.
'wonder how they'd react to places like Markarth and whatnot being re-purposed by other people.