The Thinker’s lair was revealed to be inside of a pocket dimension, which is how DeVoe has been able to just appear and disappear at will.
Plus, I’m sure DeVoe is interested in checking out the fourth dimension when a free moment arises.
Why would The Thinker be so interested in Folded Man?
Because the episode “Subject 9” introduced Flash viewers to the concept of pocket dimensions, which are individual voids within reality that go undetected by just about everyone.