I had them living under my siding last year. And, when autumn hit, we seen the hive up in our maple tree. So, they had two nests! A half of my home is underground and they were coming in through the walls through the siding and ending up in our spare bedroom. I had an exterminator come in and spray them with a special chemical. Once he sprayed the chemical on the bees and they went went back to their nest, the others would die. It cost around $170. I would think that they can build a nest anywhere like maybe in your attic or in your ventilation system.
If I were you, I would contact an exterminator who handles bees and ask for advice to determine where to look to see where their nest might be. It's pretty nippy here in the Midwest, so it's possible the nest may be in your home.