There's some confusion about this location.  One viewer thinks that a scene in the movie was filmed at the Bellagio hotel in Las Vegas and several websites state that the Lungolago di Bellagio Europa (Bellagio's Europa lakefront) was used for a famous scene where Noodles and Deborah walk by the ocean.

Other sites seems nearer the truth with the Lungolago di Bellagio Europa (Bellagio's Europa lakefront) representing the car park adjoining Secretary Bailey's mansion.

It's difficult to pinpoint the exact location but the surface of the ground and lines of trees look similar:

From the movie

Bellagio's Europa lakefront (lungolago di Bellagio)

Bellagio and Lake Como have been used in movies for many years. Examples include

Star Wars Episode II
Casino Royale (2006)
Ocean's Twelve
Rocco and His Brothers
Hitchcock's The Pleasure Garden (1925)
Roger Corman's Frankenstein Unbound
Sidney Pollack's Bobby Deerfield
John Irvin's A Month By The Lake
Nunziante's What A Beautiful day
Taviani Brothers' All˛nsanfan
Risi's A Difficult Life
Lizzani's The Last Days Of Mussolini

I think George Clooney still has a villa in the region and he and Robert De Niro are said to be regular visitors.

The front entrance to Bailey's mansion is fairly distinctive. The entrance is slightly higher than the level of the road, there are steps, and several full height doors with glass panes.

From the movie

On set photos

In Marcel Garofalo's Photographic Memories book there's an interior photo of the Trivulsio Gerli villa which is fairly near to the lakefront and is probably used in the movie as the front entrance of Bailey's mansion.

The Trivulzio Gerli Villa

Map of the area

Several of the villas have works of art and statues and behind Deborah is a replica of a famous marble statue called The Three Graces

From the movie

The sculptor Antonio Canova of Rome carved the original for Empress Josephine, the estranged wife of Napoleon Bonaparte. The 6th Duke of Bedford from England was captivated by the statue and tried to purchase it. His endeavours were in vain and so he visited Canova and commissioned a second version from him. This is now owned and exhibited jointly by the Victoria and Albert Museum in London and the National Galleries of Scotland. The first version is located at The Hermitage Museum in St Petersburg.

The Three Graces, celebrated in classical literature and art, were the daughters of Jupiter (or Zeus in Greek mythology), and companions to the Muses. Thalia (youth and beauty) is accompanied by Euphrosyne (mirth), and Aglaia (elegance).

It's reported that the purchase price paid by the Victoria and Albert Museum and the National Galleries of Scotland was six million pounds.