Jesus called God his Father in Heaven because that's where he came from. When Jesus was baptized, the Father spoke from heaven and said, "This is my Son, whom I love; with him I am well pleased." (Matthew 3:17) From that point on, Jesus always referred to his Father as being in heaven. The Bible also says that before he was born, Jesus existed in heaven with the Father. (John 17:5) So when Jesus prayed or spoke about his Father, he was speaking about the one who created him and who currently lived in heaven.