To answer this question, the user needs to have knowledge about the location and names of ancient caves in India.

The correct answer is:

A. Elephanta Caves

Option A is the correct answer because the Elephanta Caves, also known as the Gharapuri Caves, are a UNESCO World Heritage Site and are located on Gharapuri Island in Mumbai's harbour. These caves are believed to date back to the 6th century AD and are famous for their rock-cut temples dedicated to Lord Shiva.

Option B is incorrect because the Ajanta Caves are located in Aurangabad, Maharashtra, and are known for their beautiful Buddhist rock-cut cave monuments and paintings.

Option C is incorrect because the Kanheri Caves are located in the Sanjay Gandhi National Park, Mumbai, and are known for their Buddhist rock-cut cave monuments and carvings.

Option D is incorrect because the Ellora Caves are located in the Aurangabad district of Maharashtra, India, and are known for their rock-cut architecture and religious monuments dedicated to Hindu, Jain, and Buddhist faiths.

Therefore, the correct answer is A. Elephanta Caves.