I've found no restrictions of precisely where a lich must keep its phylactery. For example, the Bestiary's lich entry mentions no restrictions nor does Undead Revisited (2011), this latter saying, "Once the soul has been safely transferred over [to the phylactery], the phylactery is then hidden through means cunning and wise," yet not saying that the phylactery must be, for example, within 1 mile of the lich or on the same plane as the lich.
Just to be sure, I made a good faith attempt to confirm the whereabouts of a few liches' phylacteries. Without giving away too much, I only tracked down a few phylacteries: two liches keep their phylacteries in rooms conveniently near where the PCs will typically encounter the liches; another keeps its phylactery secreted within its own body, which is gross and sort of confusing; a fourth just up and buried its phylactery 50 ft. down and, like, a mile or so away from where the PCs are expected to encounter it, its text going so to note that this is not a particularly secure hiding place; a fifth is rumored to have its phylactery hidden beneath a nearby settlement, and, if such rumors are true, the exact location goes unsaid; and a sixth split its phylactery into three parts and scattered them widely, intending its followers unify the pieces so that it could reform.
(I used the list of liches on this page as a guide, and sources I checked included but weren't limited to the Pathfinder Campaign Setting, Gods and Magic, Inner Sea Primer, Shadows Gallowspire, Sins of the Savior, and Thousand Fangs Below.)
Thus, to be clear, while no published lich I found seems to hide its phylactery on a different plane, nothing I've found say a lich can't keep a phylactery on a different plane. However, a lich that keeps its phylactery on a different plane but is itself unable to muster a gate spell or another means of precision planar travel will typically be at the mercy of the inaccuracy of the spell plane shift.
That is, the plane shift spell forces a lich that reforms on a different plane and that seeks revenge against those who downed it to take the fairly significant risk of arriving 5d100 mi. away from its destination when it returns to its native plane! Not knowing where its plane shift spell will deposit it still shouldn't prevent an extremely confident or paranoid lich from storing its phylactery on a different plane, but that risk may deter otherwise overconfident or supremely cautious liches from doing so.
War Story: D&D 3.5 also lacks such restriction, and, because of this, this DM had during one campaign a particularly paranoid demilich hide its phylactery on a plane it created itself that could be reached only from a different crystal sphere than the one where the campaign normally took place. (The phylactery was also guarded by, among other creatures, a phane.) Needless to say, the players were very pleased with themselves when they finally destroyed that phylactery!