Go to Matthew 2:1-3.
Now when Jesus was born in Bethlehem of Judaea in the days of Herod the king, behold, there came wise men from the east to Jerusalem, Saying, Where is he that is born King of the Jews? for we have seen his star in the east, and are come to worship him. When Herod the king had heard these things, he was troubled, and all Jerusalem with him.
We learn there that not only was Herod upset about the Magi, but also the whole city was. Why was the city of Jerusalem in a panic about the Magi showing up?
Unfortunately, we’re all victims of the cute little nativity scenes showing three guys on camels. That’s simply not a realistic representation.
First, you need a little history to understand what’s going on. Daniel was put in charge of the Magi (Daniel 2:48 — Then the king made Daniel a great man, and gave him many great gifts, and made him ruler over the whole province of Babylon, and chief of the governors over all the wise men of Babylon.). Later, when the Persians came to power, he rose to one of the top positions in the country again (Daniel 6:2 — And over these three presidents; of whom Daniel was first: that the princes might give accounts unto them, and the king should have no damage.). Although the Bible doesn’t record this, some historical accounts and traditions suggest that Daniel trained a group of men to recognize the signs in the heavens. (That’s not astrology, but astronomy. God does mention using signs in the sky). The tradition was passed down through the years. The Magi became the King Makers of the Empire. They decided who would be king next and supported that person’s reign.
Jump ahead to the Roman Empire. What had been the Persian Empire came apart under the Greek Empire and what was left became the Parthian Empire (http://www.parthia.com/). You don’t hear much about them, but the Parthians and Romans were perpetually at odds over Israel. The whole area traded hands back and forth several times. In fact, it was so unstable that when Herod was put in charge, he couldn’t even live there for quite some time.
So, Israel is a very unsteady place around the time of Jesus’ birth. Rome had control at that point and named Herod the king. He was not Jewish, and you can guess how well that went over with Israel.
You also need to bear in mind that long distance travel in those days wasn’t safe. There were armed brigands and wild, dangerous critters everywhere. People typically traveled over distances with a caravan, and if you had any wealth to speak of, you went with an armed escort. If the Magi are bringing such expensive gifts as gold, frankincense, and myrrh, they were not poor folks, so they had protection with them.
Okay, put it all together. You have a group of (probably a lot more than 3) Parthian King-Makers show up with military escort to talk to a non-Jewish, appointed, unpopular king about the real, hereditary king of the Jews. For all Herod knew, these guys were there to start a new fracas with Rome. As for the folks of the city, war is an unpleasant, dangerous business even if you’re a bystander, so the townsfolk were also in an uproar waiting to see what these Parthians wanted.