There are actually several addresses in a WHOIS record. There is the registrant address, and there are several role addresses (technical contact, administrative contact, etc.)
I assume you are talking about the registrant address.
The registrant is the "owner" of the domain. Thus, it is you, not your hosting provider. Unless, of course, you want to - intentionally or unintentionally - give ownership of your domain to your hosting provider!
(Don't laugh - we get a sob story about same here about once a month.)
Depending on your registrar, there may be a privacy service that will allow you to hide either the registrant address, role addresses, or both. It is common to use your registrar or ISP for the role addresses in any case.
You can always use a Post Office Box. (Which I've recently started using. A PO box at a U.S. postoffice is one of the great bargains still around - like penny candy...) Note that the registrant's phone number is not published - a bit of an anomoly in the structure. That is, there are phone numbers for the role addresses, but not for the registrant.
There have been various discussions here about WHOIS privacy - pro and con. Do a search if you want to see a good debate. It's not quite as clear as it first seems.