Yes, there are other planes, and such creatures live there
—but what exact set of planes is available depends on who you ask
Officially, at least in most editions of D&D, the wider “multiverse” serves as an “over-setting” that all the other settings are embedded in. So not only are there other planes accessible from Krynn, they are the same planes accessible from Faerûn.
The whole “multiverse” thing doesn’t always make sense, however, and sometimes the claims about the worlds sharing a cosmology contradict what the material for those worlds has to say about their own cosmology. For example, the original description of Eberron included its own set of “other planes” in the form of moons, and indicated no connection to the cosmology that the Dungeon Master’s Guide described as applying to all worlds in D&D. For another example, the third edition descriptions of the Forgotten Realms described an alternative “World Tree” cosmology, nominally separate from the “Great Wheel” described by the Dungeon Master’s Guide for that edition, but then numerous FR books in that edition seemed to just forget about the World Tree entirely and just went with the typical Great Wheel planes, apparently without realizing the disconnect.
The latest edition of D&D, fifth, explicitly states that all worlds are part of the same multiverse—explicitly naming Mystara as an example, which is world that hasn’t had new D&D material in decades, and whose cosmology predates, and is wildly incompatible with, the “Great Wheel” cosmology used since. They haven’t explained how that one would work. They also named Eberron—and then in Eberron: Rising from the Last War, they ret-conned Eberron’s moons as being separate from the planes and never bother to explain how on earth Eberron’s environment could possibly remain the same with this new potential extraplanar influence (hint: it makes no sense, a ton of the plot in Eberron revolves around the lack of the usual planes, since the planes are related to the gods and the afterlife, two things Eberron does very differently from most D&D worlds).
So, officially, as described in D&D sources that aren’t necessarily related to Dragonlance specifically, Krynn is just another world within the Great Wheel, and has access to the same planes as all the others. Since those planes include the heavens and the hells, they include angels and demons.
Within its own descriptions, at least in third edition (the last time it got its own D&D material),¹ Krynn has a unique cosmology that focuses on the “Dome of Creation,” the “Hidden Vale,” and the “Abyss.” This last entry is particularly confusing, since it has the same name as a Great Wheel plane, and “is also known as” Baator, the name of another Great Wheel plane that is very much not the Abyss. And Dragonlance’s Abyss is not like either of the Great Wheel’s planes whose names it shares. Anyway, devils and demons and more evil besides are found there. The Dome of Creation has angels and other celestials.
So either way, yes, there are other planes, and there are angels and demons and devils. But there are still a lot of questions.
- Wizards of the Coast had plans for more Dragonlance material, but the original authors of Dragonlance have also sued them about that. I’m not sure of the current status of those plans or that lawsuit.