This poem takes place in a variety of settings: on the sea, on a mountain, on the moon, under a balcony, and on an interstellar climbing expedition. If that sounds confusing, that's because, well, it is—a bit. Still, what do all of these places have in common? Well, one way to think about this poem's setting is that it takes place entirely in the imagination of the speaker himself. In other words, he imagines the "ship out on the sea," "the horse on the mountain," and the green gypsy girl "still on her balcony." More importantly, the speaker imagines them for us, the audience, for a particular reason.
Why do we get these often abstract and inconsistent places? Because each place that the speaker identifies for us packs a particular emotional punch. When we think of the ship, or the horse, we feel sorry for them; they seem lonely and isolated. Of course, so is our speaker. When we're told about the balcony, the important part is not the balcony itself, but the distance at which this balcony is from the speaker. Again, the place takes a backseat to the idea being communicated by the place.
Still not convinced? Well, what about that forest that "bristles its brittle fibers" like a "cunning cat"? Is the speaker literally in a forest that reminds him of a scared or angry cat? Maybe. But we think that the scared, angry part is what counts. The setting carries a particular emotional tone that changes as the speaker's experience changes.
Consider that last climb up "to the high balconies." Sure, you can think that these friends are literally leaving a trail of blood and tears as they pass bells on the rooftops. Or, you can think about how the struggle to reach any goal, to climb to any height, is something that is both costly (in tears and blood), while also beautiful (hence the bells). So, the setting is not entirely a solid place, but it's not meant to be. This poem takes place, not in any actual, physical place, but in the speaker's emotional imagination.