I would imagine it depends on where you are.

• Bienvenue chez moi. — Welcome to my house.
• Bienvenue sur Terre, sur le vol — Welcome to the flight (you’re on the flight), welcome to earth (you’re on earth)
• Bienvenue à Paris — Welcome to Paris.

• Chez: used if followed by a noun owning the designated location (Bienvenue chez le coiffeur)
• Sur: used if you’re on (sur) the location. Same goes for in (dans : Bienvenue dans la Matrice) and so on.
• En: used if the location is a region/country/etc with a feminine name that is not an island (Bienvenue en France [LA France]) or masculine name starting with a vowel or non-aspirated consonant (en Hollande)
• À: used if the location is:
  1. other regions/countries/etc with a masculine name (will most likely be au in this case, I can’t think of one where it is à) or islands (Bienvenue au Canada/à Madagascar)
  2. or a proper noun/a designation of a unique place (in the context of the current discussion) (Bienvenue à Paris/au restaurant dont je t’ai parlé)

Those are not academic rules, just my two cents.

thanks to PapaPoule for the clarification on feminine/masculine names for regions/countries

thanks to Circeus for the clarification about island names