The phenomenon of phase separation into antiferromagnetic (AFM) and superconducting (SC) or normal-state regions has great implication for the origin of high-temperature (high-Tc) superconductivity. However, the occurrence of an intrinsic antiferromagnetism above the Tc of (Li, Fe)OHFeSe superconductor is questioned. Here we report a systematic study on a series of (Li, Fe)OHFeSe single crystal samples with Tc up to ~41 K. We observe an evident drop in the static magnetization at Tafm ~125 K, in some of the SC (Tc < ~38 K, cell parameter c < ~9.27 {AA}) and non-SC samples. We verify that this AFM signal is intrinsic to (Li, Fe)OHFeSe. Thus, our observations indicate mesoscopic-to-macroscopic coexistence of an AFM state with the normal (below Tafm) or SC (below Tc) state in (Li, Fe)OHFeSe. We explain such coexistence by electronic phase separation, similar to that in high-Tc cuprates and iron arsenides. However, such an AFM signal can be absent in some other samples of (Li, Fe)OHFeSe, particularly it is never observed in the SC samples of Tc > ~38 K, owing to a spatial scale of the phase separation too small for the macroscopic magnetic probe. For this case, we propose a microscopic electronic phase separation. It is suggested that the microscopic static phase separation reaches vanishing point in high-Tc (Li, Fe)OHFeSe, by the occurrence of two-dimensional AFM spin fluctuations below nearly the same temperature as Tafm reported previously for a (Li, Fe)OHFeSe (Tc ~42 K) single crystal. A complete phase diagram is thus established. Our study provides key information of the underlying physics for high-Tc superconductivity.