Tether is token on Ethereum blockchain.
Right but it's not only found in the ethereum blockchain but also in other networks that supports it.
But I cannot find any transaction with Tether on Ethereum explorer.
Can someone please clear things up for me?
As you look at it on a website like etherscan. It's very visible there. Like if you have an ethereum address and you have USDT there, just input your Eth address on etherscan and you'll see that you've been holding it on that address.
Press on the "Token:" drop-down menu as it's found there.