That setting is found under developer options in settings. If you don't see developer options in Settings, enable it by going to settings / About device / Build Number. Tap on build number until it tells you developer options is enabled. Press the back button once and go to the developer options menu, Find mock locations in there.
Normally there isn't anything enabled there. On Lollipop, you can turn it off, on MM, it's off unless you have an app that uses mock locations like a GPS spoofer.