Warning: This article contains SPOILERS for the Game of Thrones finale.
Once Bran becomes the new king of Westeros in the Game of Thrones series finale - specifically over the remaining six kingdoms - Grey Worm and the Unsullied choose to leave the continent. But where do they go? For the past few seasons of Game of Thrones, every soldier in the Unsullied only wanted to follow and fight for Daenerys Targaryen, including Grey Worm, who she considered her most loyal soldier and the person she wanted to rule by her side as they liberated the rest of the world.
But that, of course, didn't happen. Jon Snow killed Daenerys in the throne room and was arrested for it, by the Unsullied. Since the Unsullied controlled King's Landing, they were the ones in charge of Jon and Tyrion's temporary incarcerations. But once Bran was named the new king, the Unsullied partly took Davos' advice to start a new life in a new place. However, rather than going to a new land, they chose to head to the continent of Sothoryos.
Grey Worm and the Unsullied sailed for the Isle of Naath. It's located in the continent of Sothoryos - the third continent in the Game of Thrones' lore - which is south of Essos and southeast of Westeros. It's where Missandei is from and where she wanted to go back to after Daenerys took back the Seven Kingdoms. While Missandei is no longer alive, Grey Worm still kept his promise to go there, and he took the Unsullied with him.
Perhaps instead of forming a new house with the Unsullied as his bannerman, as Ser Davos (now Lord Davos) suggested, Grey Worm may choose to defend Naath with the Unsullied, in case anyone tries to either take the island or enslave the Naathi once more. Just as Grey Worm told Missandei on the eve of the Battle of Winterfell, his people are not peaceful and they will defend Naath - or, at least, defend Missandei. It's unclear if the Unsullied will ever return to King's Landing, but since their queen is dead, they have no goal at the moment. They could still try to "liberate" the rest of the world, but that might put them in direct conflict with Bran.
Unfortunately, not too much is known about Naath - certainly not as much as parts of Westeros are known for viewers and book readers - but it's something that could potentially one day be explored in one of the many Game of Thrones spinoffs that are currently in development.