"On" or "at" both work. "Of" doesn't really work in this context.
"On" usually means on the surface of something, like a floor, a table etc. So you could say that the bird was standing on your balcony.
"At" usually means that you have reached the periphery of something. For example, you might arrive at your home, and then you go in. So if you are referring to the fact that the bird comes to your balcony, use 'at'.
"Of" could be used in some contexts. For example, you might say that a person is "a regular of this bar", but in such a context you would be referring to 'the bar' as an establishment rather than a location. In the same way, you could say "he's a regular customer of mine", even though you are not a location. This doesn't feel quite natural in the context of your balcony.