You need to define a host inventory.
The default path for this is /etc/ansible/hosts (as also stated by helloV).
For a minimal example you can also specify an inventory in the command line:
ansible-playbook setup.yml -i 192.168.10.1,
The trailing comma makes it a list, such that ansible parses it directy. Otherwise you can run
ansible-playbook setup.yml -i myinventory
where myinventory is a file listing your hosts.