Calendars and Contacts on iCloud

Your Calendars (and Contacts) are stored on the iCloud servers, a local copy (a cached copy) is stored on your computer. If you can not connect to iCloud (no internet for example) you can still use the local copy, any changes to it will be uploaded to iCloud when you next connect.

Any Calendars you put in 'On My Mac' will only be on your Mac.