Did you try right-clicking on the layer name and "zoom" to the layer? It may be in a different location because and incorrect or undefined spatial reference
How many points are you using the create the Hot Spot? Depending on the aggregation method you will need somewhere 30-60 points at a minimum to create the output. Also is your data in a projected coordinate system or a geographic coordinate system? If geographic, then you'll need to reproject the data and then run the tool again.