I recently moved to a different location. How can I change the address listed in my steam account?
The only addresses stored in Steam are billing addresses linked to payment methods. So if you don't have a payment method saved, you won't have any kind of an address.
A billing address can be changed by deleting a previously saved payment method and replacing it with a new one. Payment methods are managed in the Store & Purchase History section of the account details page (available by browser, or via the Steam client at Steam → Settings → Account → View Account Details).