Octopus usually live in rocks, coral, or burrows and because they are invertebrates, the can squeeze through narrow passageways giving them a bigger variety of possible homes. Their homes provide them with protection and gives females a place to keep their eggs. If you discover an octopus's home, then you might find the remains of its past few meals nearby. However finding an octopus's den is not an easy task. They have been known to scatter rocks and shells around their home to help hide themselves.
The red shows common locations for octopus. They seem to prefer shallow locations.