The correct word to fill in the blank is "this."

So the sentence should be: "I don’t feel comfortable at this place, I think I will go home."

**Explanation:**

- "This" is used to refer to something that is close to the speaker in terms of distance or time. In this context, "this place" indicates that the speaker is currently at the place they are referring to and feels uncomfortable there.
- "That" is used to refer to something that is farther away from the speaker in terms of distance or time. If the speaker were talking about a different place that they are not currently at, they would use "that place."

Since the speaker is talking about the place they are currently in and feeling uncomfortable, "this" is the appropriate choice.