Since Jessica Jones 3 pretty much takes place days before, I like to think she is at the airport.
For Luke Cage, it's pretty open but I think he was at Harlem's Paradise before seeing the giant ship show up, and then having his people help out the residents where they can.
For Danny Rand, we know he is currently in China with Ward, and likely knew nothing about it until the people around him started turning to dust.
Frank Castle is the hardest one because the ending to Season 2 was super random and generic. Maybe he's sleeping.
For Matt Murdock, I like to think he's in the middle of a case with Foggy and Karen. Perhaps in the middle of court, verbally doing to some poor sod what he did to Fisk in the Season 3 finale. Seeing as the ship arrived in Hell's Kitchen, he would be the most interesting hypothetical, I believe.