How to find where is $JAVA_HOME set?

You didn't specify a shell. So, I will assume bash. The next issue is: did you set it for your user only or system-wide? If you set it for your user only, then run:

grep JAVA_HOME  ~/.bash_profile ~/.bash_login ~/.profile ~/.bashrc

If you set it system-wide, then it may vary with distribution but try:

grep JAVA_HOME /etc/environment /etc/bash.bashrc /etc/profile.d/* /etc/profile

If the above give no answer, you can cast a wider net:

grep -r JAVA_HOME /etc
grep -r JAVA_HOME ~/

See also the suggestions in How to determine where an environment variable came from.

With zsh:

zsh -xl

In bash:

PS4='+$BASH_SOURCE> ' BASH_XTRACEFD=7 bash -xl 7>&2

That will simulate a login shell and show everything that is done (except in areas where stderr is redirected with zsh) along with the name of the file currently being interpreted.

So all you need to do is look for JAVA_HOME in that output. (you can use the script command to help you store that output).