The "wise men" were Jews looking for their Messiah. The Jews were enslaved by Persia for many years and allowed to go home. Some stayed in Persia. These "wise men" were probably Jewish leftovers that had done well in Persia, so they stayed. The whole point of the Bible story was fulfilled prophesy of the Jews. I'm sure the Jews that wrote the Bible didn't have a care about the beliefs of Zorastrian's. Many Jews were looking for the Messiah at the time He came.
Wise men were referred to as "Magi", Magi is the term for Zoroastrian Priest.
I have Jewish family members, your analysis is beyond ridiculous.
I don't think they were Jews because it wasn't typical of Jews to look at the stars and see a lot of significance in them. Who would be most likely to travel far because they saw some event in the sky?