"Het is niet mijn adres."
Translation:It is not my address.
"Not" tells something about 'mijn' and is therefore translated as "niet". If you say "Het is geen adres", you say "It is no address". Presumably the exercise sentence is about something that is an address, but somebody else's.
You could say "Het is geen adres van mij", but that suggests that you have multiple addresses and the 'it'-address is none of them.
"Het is niet mijn adres" is the best translation here.