It is not the Macedonian Empire but rather the Hellenistic/Greek Empire that Alexander founded. Alexander was a Macedonian Greek not a Macedonian. He and his entourage spoke Greek and considered themselves Greek culturally and ethnically.
Alexander was Macedonian, but he had a Greek tutor.
http://www.alexanderofmacedon.org/
Alexander was born in 356 BC in Pella, the ancient capital of Macedonia. He was son of Philip II, King of Macedonia, and Olympias, the princess of neighboring Epirus... When he was 13, Philip hired the Greek philosopher Aristotle to be Alexander’s personal tutor. During the next three years Aristotle gave Alexander a training in rhetoric and literature and stimulated his interest in science, medicine, and philosophy, all of which became of importance in Alexander’s later life. In 340, when Philip assembled a large Macedonian army and invaded Thrace, he left his 16 years old son with the power to rule Macedonia in his absence as regent... Two years later in 338 BC, Philip gave his son a commanding post among the senior generals as the Macedonian army invaded Greece. At the Battle of Chaeronea the Greeks were defeated and Alexander displayed his bravery by destroying the elite Greek force, the Theban Secret Band.