That's something I thought about as soon as I pulled the controller out of the box, and an accessory I would buy - as long as it also has room for The Claw which I will also buy.
I saw someone on reddit a while back who made some modifications to a headphone case and it fitted the controller nicely, but didn't look that great. I've been wanting to make my own case for a while now with enough room for everything, but keep putting it off. I think when I do it I'll use a smallish flight case with a custom cut foam insert. I haven't seen anywhere that offers the sort of insert I'm looking for and getting one custom made will cost way too much I think. My only other option is to use some packaging foam and cut my own, but I'm worried it won't look very neat. Would love to know if anyone else has tried this!
I have also purchased Orzly cases for all my controllers, they feel pretty nice and seem to be of good quality. I can recommend them.