The idea of living nowhere and being a nomad may sound appealing and exotic, but it became more difficult to achieve lately, as more and more people are starting to follow this lifestyle.

Consequently, various governments started closing some exit paths in order to make you pay your taxes to them and not somewhere else.

Simply saying: "I don't live anywhere" is going to raise a lot of questions and so the good idea would be to eventually set up a place which will be your "home" and a solid plan to help you achieve what you wish for.