In Assassin's Creed Revelations, Ezio is seeking Masyaf when the game begins.
Ezio travels to the former Assassin stronghold of Masyaf to uncover Altaïr Ibn-La'Ahad's library. The fortress was central to the first Assassin's Creed game, so Revelations uses it to connect Ezio's later life with Altaïr's earlier story. The opening sequence quickly reveals that Masyaf is occupied and dangerous, beginning Ezio's final major adventure.
After the Masyaf prologue, the main campaign moves to Constantinople, where Ezio searches for keys that can open Altaïr's library. The city is therefore the principal setting, but it is not the place Ezio is seeking at the opening. The distinction matters because the game's plot deliberately moves between the two locations.
Rome belongs mainly to Brotherhood, while Alexandria is a prominent setting in Origins. Masyaf is the precise answer because it is both the target of Ezio's initial journey and the historic headquarters linked to Altaïr.