Earlier versions of Mac OS X had pre-activated Location icon on the menu bar whenever any app tries to access your location. Same is not the case with the latest version of Mac OS X, El Capitan. Even if you have enabled Location services, you'll not see any icon like in iOS on your Mac OS X.
Of course, there's a tiny process you'll need to do in order to get the location icon on menu bar. The icon disappears once the app stops tracking your location, and it is displayed again when the app accesses your location. We have given a tutorial on how to set this thing, simply refer below for complete details.
How to Get Location Usage Icon in Menu Bar in Mac OS X
Step #1. First of all, launch the Apple Menu and head to “System Preferences“.
Step #2. Now under System Preferences, select “Security & Privacy“.
Step #3. Click on Privacy tab.
Step #4. Click on Lock Icon and enter your system password.
Step #5. From the left side menu, select “Location Services“.
Step #6. Select “System Services” by clicking on “Details“.
Step #7. Simply check the box beside “Show location icon in menu bar when System Services request your location“.
Step #8. You can now exit System Preferences and access any app that you think will access your location.
That's it; as soon as any app requests your location you will see a compass icon on the menu bar. You can change its position by dragging it left or right. You can also dismiss the icon again by unchecking the box in Step #7.