We first learn of the Magi in relation to Herod the Great. The book of Matthew tells us that these distant travelers not only had a basic knowledge of the Scriptures, they had revealed to them a critical piece of prophecy no one else possessed. The birth of our Savior not only took Jerusalem by complete surprise but also the religious leaders whose job it was to understand the word of God and teach it to the people!
Following a special "star" (almost certainly an angel) from their homeland, the Magi and their huge entourage arrive in Jerusalem and immediately seek Herod's assistance in finding the exact location where the Christ child was living (Matthew 2:1 - 2). Here is something that is often overlooked. These are not your average travelers who, passing near Jerusalem, thought it would be nice to visit the city and maybe catch a glimpse of Rome's king over Judea. The Magi are so important that, upon entering the city, they request and receive an immediate audience with a man known for his brutality and ego!
After Herod and the Magi exchange information, the travelers from the east leave for Bethlehem (Matthew 2:5 - 8). They ultimately find where Jesus is located and present their gifts to the family (verse 11). Warned by an angel not to go back to Jerusalem, they bypass the city and take another route home (verse 12).
Herod, upon discovering that the wise men will not return to him, believes his foreign guests are mocking him and flies into a RAGE (Matthew 2:16)! His next recorded act is the mass murder of innocent children. Why didn't he, who was known as a violent, impulsive, vengeful ruler obsessed with maintaining control, and who had Roman troops at his disposal, not pursue the Magi and punish them for their "disrespect" of his authority?
Herod the Great had several reasons to fear the Magi and the repercussions of any action he might take against them. His visitors were high-level Parthian priests and very influential members of one of Parthia's two assemblies who elected the empire's monarchs. Parthia as an empire rivaled that of Rome's at the time of Christ. In fact, the Parthians dealt the Romans one of their worst defeats in history when half of Rome's 40,000 man army was killed and half of those who remained alive were captured around 53 B.C. at the battle of Carrhae.
The Magi, who were willing to traverse 1,000+ miles from their home, entered Jerusalem not with a tiny caravan but with vast entourage that included servants, cooks, and so on worthy of those of high rank. They also can with an armed escort of perhaps a few hundred Parthian soldiers, not only to protect their safety, but also to guard the gold, frankincense, myrrh they carried on the long trek to Judea. The group was so HUGE that when they first entered Jerusalem the city AND Herod were greatly alarmed (Matthew 2:3)! It would have been suicide for Herod to attempt revenge against the Parthians.
Herod the Great knew the wise men were high-ranking members of Parthia's ruling elite and did not want to risk incurring the wrath of Rome. Stephen Collins, in his book "Lost Ten Tribes of Israel . . . Found!" writes in this regard that "there is no record that he (Herod) made any attempt to overtake or punish the Magi. As high Parthian nobles, they had 'diplomatic immunity,' and Herod dared not anger Caesar by provoking the Parthians" (pages 385 - 386, first revised edition).