Identify the statement that is NOT correct.

To identify the statement that is NOT correct, let us analyze the structure of an antibody (immunoglobulin) molecule step-by-step:

1. Basic Chain Structure:
An antibody is a Y-shaped glycoprotein composed of four polypeptide chains: two identical light (L) chains and two identical heavy (H) chains. Therefore, the statement "Each antibody has two light and two heavy chains" is correct.

2. Disulfide Bonds:
These heavy and light chains are held together by covalent interchain disulfide (-S-S-) bonds, as well as non-covalent interactions, to form a stable quaternary structure. Therefore, the statement "The heavy and light chains are held together by disulfide bonds" is correct.

3. Constant and Variable Regions:
Each chain contains a variable (V) region at the amino-terminal (N-terminal) end and a constant (C) region at the carboxyl-terminal (C-terminal) end. The constant regions of both heavy and light chains are located towards the C-terminus of the antibody molecule. Therefore, the statement "Constant region of heavy and light chains are located at C-terminus of antibody molecules" is correct.

4. Antigen-Binding Site (Paratope):
The antigen-binding site is formed by the variable domains of the heavy ($V_H$) and light ($V_L$) chains. These variable domains are located at the N-terminal (amino-terminal) region of the antibody molecule, not the C-terminal region. Thus, the statement "Antigen binding site is located at C-terminal region of antibody molecules" is incorrect.

Therefore, the incorrect statement is: Antigen binding site is located at C-terminal region of antibody molecules.