It's probably no surprise for a poem with a title like "I Am," but the setting here is pretty self-centered. The speaker says it best, in fact: "I am the self-consumer of my woes" (3). Clearly, this guy is taking a long, leisurely swim in Lake Me.
More specifically, if we had to put our finger on it (or enter it into our Google Maps app), we'd locate this setting inside the speaker's mind. His troubles, his anxieties, his fears—all of these are internal goings-on that he relates to us. While we can guess from John Clare's biography that this might have taken place in an English asylum, it's important to note that there's nothing in the poem itself that gives us any clue—other than the speaker's reflection on his own mindset.
By the end of the poem, in the third stanza, we get a conflict of settings, though. Feeling trapped in the cell of his disturbed thoughts, our speaker "long[s] for scenes, where man has never trod" (13). Essentially, he's hoping to go to a little place we like to call "Anywhere But Here." Still, he wants to hang with someone when he arrives: God. So, we might say that the hoped-for setting is Heaven, while the speaker's current—and detested—place of residence is far from there, in his own troubled mind.