The Magi were, as I recall, astrologers, so I am sure they
were on the lookout for something of great signifigance in that area, and they found it. Many people think that the Star of Bethelehem was the Hale Bop comet, which is why a lot of crazy people committed suicide and tried to " go to the comet" a few years back.
In the Avesta holy book of Zoroastrians during the reign of the Persian Empire. Zoroaster says my spirit shall be reborn under a star and shall be reborn a virgin.
" Zoroaster taught that a great star would appear and that this star would be the sign of a great king"
http://www.student.org/believe.htm
That great King was Christ the Son which Zoroaster the prophet predicted hence the coming of the Zoroastrian Magi from the east.