[Imladris]

Another reason, despite the fact that it was elvendom on earth and that she missed her people, would be the fact that her grandmother (?) Galadriel had dwelt there. I got the vague impression that Arwen spent a lot of time in Lothlorien before she married Aragorn and maybe she just wanted to die at home. Maybe when Aragorn was alive, Gondor was her home because the love of her life dwelt there, but since he had died Gondor could no longer be her home. So she went to Lothlorien.