There are several ways to find your virtual machine on Mac.
Using OS X Spotlight
By default OS X Spotlight indexes all the files on your Mac including virtual machine bundles.
Simply hit Spotlight icon (a magnifying glass on the right side of OS X menu bar) and type pvm:
In Mac Os X 10.11 (El Capitan) or earlier
In macOs 10.12 (Sierra)
Using Parallels Desktop
You also can locate a virtual machine via Parallels Desktop Control Center (Virtual Machines List in older versions).
Right-click on Parallels Desktop icon in Dock and choose Control Center (Virtual Machines List):
Right-click on the virtual machine and choose Show in Finder: