The authenticator app can ask for location directly via gps, but if your company doesn't enforce that requirement, you can deny the app that permission.
However if your org is using Azure AD or ADFS, your location will instead be inferred based on public IP and then challenged against conditional access policies.
Outside of those two scenarios, you're probably good.
Somebody recently commented that Authy does not provide location data, but I have not verified that. Not sure if you need to use a proprietory authenticator, but my employer does not care.
That's really the thrust of it. It is actually quite trivial for a company to figure out if they care, and overwhelmingly the ones who do care, really only care if they wanted to fire you anyway.
Why are you concerned about your employer knowing your location?