However, the most well-known attribution is to Pliny the Elder, a Roman writer and philosopher who lived in the 1st century AD. He wrote, "Ubi bene, ibi patria" which translates to "Where one is well, there is one's country". This is very similar in meaning to the modern proverb.
So, while we don't know who said it first, Pliny the Elder is the most recognized source for this popular saying.