Dark Circus

The Dark Circus, as Kingpin called it, was the true time-space of the Gods of Ragnarok. It was an arena of grey stone slabs with inscriptions on them that included carvings of moons and statues of clowns and other figures. It could be entered through a well on the planet Segonax, though whether it actually existed on the planet in another time is unclear. In addition to the well, the gods could create a bridge that would allow people to enter the Dark Circus. Using a medallion to reflect their energy, the Seventh Doctor presumably destroyed the gods, who began to crumble along with the Dark Circus. (TV: The Greatest Show in the Galaxy)

It is possible that, since the Gods and the Dark Circus were made of stone and the Gods had other forms outside of their realm, that they could not leave their own time-space.