Great question. If you believe Antony, the answer is in Caesar's closet (his dressing room) - at least, that's what he tells the crowd in the funeral scene, Act 3, Scene 2:
But here's a parchment with the seal of Caesar;
I found it in his closet, 'tis his will.
However, the plot thickens. It depends how much you trust Antony as a character (as it happens, I don't, not even the tiniest bit!) - but in Act 4, Scene 1, not supposed to be much later than the funeral scene (3.2) Antony sends Lepidus off to Caesar's house to get ... the will (!):
But, Lepidus, go you to Caesar's house,
Fetch the will hither, and we shall determine
How to cut off some charge in legacies.
Didn't he already have the will? Well, yes, we thought so. So why is the will now at Caesar's house? Who knows. Is it possible that Antony's will was a fake, designed to get the crowd on-side? Certainly. Is it proven? No.
But, whatever you think about Antony, his motives aren't whiter than white. The second half of the above quote shows his intention to cut the will down: "cutting off some charge" in Caesar's will in order to make himself some more money.