Depending on the variety of owl, it could be called a roost, or nest. However, the Burrowing Owl actually lives in, as the name implies, a burrow in the earth. They have also been reffered to in some writings as warrens, although uncommon.
It has always annoyed me that there is a 'Proper way' to describe the home of an animal, as eg. Otter's Holt, Badger's Set , Fox's Earth , Squirrel's Drey. I once asked a squirrel what HE called his home--he answered ''EEK'' or something very similar. Owls nest, but they don't actually live there, just raise their Chicks.