If it the star was just a natural phenominom, it is not that likely that the Magi, who were experts in the study of Stars would have taken any special notice. Maybe this was something which was truely supernatural and this was something which they knew was of extraoridary importance. What lit up the burning bush? Now we know that was of God, but we can't explain it! At the time of Christ, Persia was part of the Parthian Empire who had fought and beaten the Romans in several really serious battles and wars.
The Magi were the king makers on the Partian empire and they were all powerfull, anyone will any sense was not going to upset these guys. The bible says that they were wise men, not three kings. Three kings is not in the bible at all. These guys were wise and a force to be reconded with, we are not told how many they were, they probably had their own military escort with them, to keep them safe. They were from a major power in the area and judea was a small coutry sandwiched between the Romans and the Parthians.
Look at the history books, this is not as Hollywood film makers and others have presented this. Historians have recorded a lot about the facts of the part of the world at this time. Partia was the major power east of Judea at this time. The bible does not name where they came from, it was just wise men from the east. I just that some of us who have heard a little bit of the history of the area, will have heard mention of the Partians and the Medes. In case you may be wondering, the Medes are the modern day Kurds. Check out the History, it's really interesting and well worth looking it up!