To expand on the answer and help you to understand why,
The relationships are always defined in the database where the physical tables exist. This allows the relationships to be enforced regardless of what FE makes changes to the tables.
For multi-user Access apps, each user has his own personal copy of the FE but all the data changes happen in the BE and so if you made a mistake and one of the FE's didn't have the relationships correctly defined, that app could break the others if did something to violate the RI you defined.
This concept is universal. If your tables are in SQL Server, that database is where the relationships are defined.