Like all the movies up to this point, Hogwarts is where most of the major action takes place. Harry and his friends are still in school, after all, so where else would they be spending most of the year?
The school has always been a safe place for its students, but this year, as Voldemort gains more and more power and his supporters get increasingly bold, it seems like there's kind of a cloud hanging over it. Dumbledore puts that feeling into words when he gives his welcome speech to the students at the beginning of the school year:
DUMBLEDORE: Every day, every hour—this very minute, perhaps—dark forces attempt to penetrate this castle's walls.
Scary stuff—and it must be particularly scary for Harry, since Hogwarts is basically the closest thing he's ever had to a real home. And we should point out: Hogwarts was also a sanctuary for the young Tom Riddle, a.k.a. Baby Voldemort, in much the same way.