OS X Daily:

More services and features rely on location to function properly on Mac OS X, but whereas iOS will default to showing you a little compass arrow icon when location is accessed and used, OS X doesn’t show comparable location usage by default in the latest versions.

For users who want to know when Mac OS is requesting access and using location data, you can toggle an optional setting that, much like iOS, will display a compass location icon in the menu bar of OS X.

Follow the link to see how to turn that compass icon on.