There are a number of setting locations in the story. The major ones are the sea at Yalta, Anna's hotel room, the seat by the church with the sea view in Oreanda, and the hotel rendezvous where Gurov and Anna have their last conversation.
The sea beach at Yalta is important because it is where Gurov first sees Anna from afar and later meets her at the sea-side restaurant. This setting gives Anna a psychological dynamic of isolation and introspection. It also gives Gurov an opportunity to watch her voyeuristicly, building up psychological impetus to desire her.
Anna's hotel room is important because this is where Gurov and Anna take the first steps in melding their lives together in an intimacy neither have ever known before, as Anna says of her husband, "I know he is a flunkey! I was twenty when I was married to him." The sea-view seat in Oreanda is important because it is here that they feel the power of the symbolic emblems of nature that represent to them their lives and future: "the sea rising up from below, spoke of ... the eternal sleep awaiting us."
The hotel room where they rendezvous is important for several reasons. (1) The setting is the scene of the final resolution of the story, though not the resolution of their dilemma. (2) It is the symbolic representation of the psychological changes that have occurred in each of them, in Anna for the worse, in Gurov for the better. (3) It sets the situation that provokes in us questions about Gurov's sincerity and his ability to be longsuffering in working out their dilemma since he is not one to continue relationships:
every intimacy, which at first so agreeably diversifies life and appears a light and charming adventure, inevitably grows into a regular problem of extreme intricacy, and in the long run the situation becomes unbearable. But at every fresh meeting with an interesting woman this experience seemed to slip out of his memory, and he was eager for life, and everything seemed simple and amusing.