Results. Components A and B are too weak for variability studies, but the distance for component A is already known from optical imaging of the [O III] line to be about 3 kpc. During the five weeks of the XMM-Newton observations we found no evidence of changes in the three X-ray dominant ionisation components C, D, and E, despite a huge soft X-ray intensity increase of 60% in the middle of our campaign. This excludes high-density gas close to the black hole. Instead, using our time-dependent modelling, we find that the density is very low, and we derive firm lower limits to the distance of these components. For component D we find evidence for variability on longer time scales by comparing our spectra to archival data taken in 2000 and 2001, yielding an upper limit to the distance. For component E we derive an upper limit to the distance based on the argument that the thickness of the absorbing layer must be less than its distance to the black hole. Combining these results, at the 90% confidence level, component C has a distance of > 70 pc, component D is between 5-33 pc, and component E has a distance > 5 pc but smaller than 21-400 pc, depending upon modelling details. These results are consistent with the upper limits that we derived from the HST/COS observations of our campaign and point to an origin of the dominant, slow (nu < 1000 km s(-1)) outflow components in the NLR or torus-region of Mrk 509.