If Golos’ activated ability becomes triggered, and you decline to move a creature from exile into play (perhaps because you already have 3 creatures in play), where does that creature go?
Yeah it just stays in exile. Exile means “removed from game” but really it’s treated as a very far away zone of play. Most interactions occur with cards that are “in play” be they hand, deck, battlefield, or graveyard. Exile can sometimes be interacted with (like Golos does innately), but for the most part, exile is out of the game.
Small correction to the above. In today’s terminology “In play” means on the Battlefield. Cards in your library (deck), the graveyard or your hand are not actually “in play” as those are separate zones.
There is actually a removed from the game mechanic that is not exile. That is where all the tokens go when they are destroyed or exiled. When a token (of anything) hits one of those two places, it is whisked away into nothingness. It didn’t used to quite work this way, but Octagon defined it a bit more clearly a bit ago.
If you play oath of Teferi now, you can see this in action. If your first creature is a token, when Oath triggers the token goes away but doesn’t return… because it has hit exile, and then been removed from the game and therefore cannot return.
(That’s from a 16-year-old set. Which A.) makes me feel old and B.) shows how long these kinds of rules questions around the “exiled/removed from the game” zone have been around.)
Then there’s Phasing which used to be its own zone where tokens would cease to exist. These days it’s just a status that treats permanents as not existing and tokens stick around.
If you decline to put a creature into play with Golos, then it does not stay in exile; it vanishes from the game. I’ve just done it now, and I can tell you that the card I declined to put into play is not in my hand, or in play, or in the graveyard, or in exile.