The full sentence is: 「肩吾问於连叔曰：“吾闻言於接舆，大而无当，往而不返，吾惊怖其言，犹河汉而无极也！大有迳庭，不近人情焉。”」
焉 means "where" or "at" (correct me if I'm wrong), so what does 焉 serve here?
Several Classical Chinese particles are of onomatopoetic origin, and have neither a fixed translation nor a fixed character representation.「焉」sometimes means where or at, but you'll have to rely on context to figure when this meaning applies.
Those meanings do not apply here.「焉」, in this context, is an end-of-phrase modal particle (句末語气詞).
I heard words from 接輿 which were extravagant but hollow, and irretrievable once uttered. His words frightened me; (1) they were vast and boundless like the galaxy, polar opposite to reality, and worlds apart from the experiences of man (2)
Two options for translating「焉」in this passage. Place one of these in their respective numbered positions:
For reference, a passage where where or at applies as a translation to「焉」:
"焉" is a particle (語氣詞) in the sample sentence.
indicating 肯定, 疑問 or 感嘆: