Browser based applications like MVC use cookie authentication. Keep in mind, cookie authentication and Identity are two different APIs. Cookie authentication is the subject I'll use going forward.
In ASP.NET MVC the cookie authentication library is embedded in the HTTP pipeline and turned on through configuration. The cookie authentication library contains a default redirect login URL but you get to configure the redirect URL in code or configuration depending in the version. In the old days it was called forms authentication the newer version is an OWIN library.
An Overview of Forms Authentication (C#)
A primer on OWIN cookie authentication middleware for the ASP.NET developer
In ASP.NET Core, you get to pick and choose what middleware your application uses. The cookie authentication middleware is configured in the application start like any ASP.NET Core middleware service. The redirect URL has a default value but you get to define any URL you like.
Use cookie authentication without ASP.NET Core Identity
Cookie authentication mechanics are very simply. The cookie authentication middleware looks for the authentication cookie during an HTTP request (HTTP pipeline). If the cookie is not found and the resource requires authorization, the middleware library redirects to the login URL. If the authentication cookie is found, the middleware reads the encrypted cookie contents and generates a Principal object for the duration of the HTTP request. The Principal identifies the user and any claims/roles the user has. The [Authorize] attribute reads the Principal to grant or deny access to a MVC Action. For example, if the user's role/claim is not authorized to access a secured resource a 401 (unauthorized) is returned.
Claims-based authorization in ASP.NET Core
Anyway, read the docs as this information is openly documentented.