I feel like the scariest answer is very close by, within a hundred light-years or so. This would imply that alien civilizations are extremely common (because the average distance between civilizations depends on how rare they are, it's hypothetically possible I suppose for intelligent life to be very rare and yet have two examples very close by, but it's very unlikely). That would have implications for the Fermi paradox (for those unfamiliar, this is basically the question of "given the universe is so old and huge, why haven't we seen any aliens out there"). Namely, it would basically rule out the rare earth hypothesis, or versions of the great filter that occur before the development of civilization, and the next leading candidate for the answer would be versions of the great filter scenario that occur after civilization has developed, and before it gets space-fairing to a significant degree (because we'd probably be able to see signs of intelligence in a sufficiently developed solar system). That would imply that basically no civilization ever survives much past our current level, despite probably billions of tries (since civilizations are so incredibly common in this scenario).

Very far away implies the reverse, either life is very rare to begin with, or it rarely reaches civilization, in which case we're probably already past the great filter if there is one, and so have less to worry about. It is a bit frustrating in that we'd basically never know anything about aliens beyond the extremely vague notion of what corner of the universe they exist in, but nothing particularly scary in my opinion. It also means we have no reason to worry about if these or any other aliens are hostile or not, because hostilities over that distance are presumably impossible unless we're wrong about ftl travel not being possible.

None at all implies one of two things that I can think of: if the universe is finite (the question didn't just limit the answer to aliens within the observable universe and somehow we just magically get the answer, so if there is more universe beyond the cosmological event horizon, and the closest aliens exist there, we should still know), then it's basically the same as far away aliens, it just means civilizations are so incredibly rare that most universes don't contain one at any given time. If the universe is infinite, though, and none of that infinite universe contains aliens anywhere, then that means that the probability of intelligent life existing is zero (because given infinite tries, anything with a finite chance of occuring eventually occurs). The problem of course is that we exist, so in that scenario, it would pretty much imply that we are not naturally occurring, and are created by something else (presumably something that exists outside the universe). This could be a religious sort of scenario, like having some sort of creator god who only creates life once, or something like the simulation hypothesis (in which case I guess aliens would exist, but asking where would be useless because they'd be outside of our universe and spacetime).