This question needs to be further refined, since there's no such thing as "ancient Macedonians." The kingdom of Macedon, as ruled by the Argeads, covered a variable expanse of territory inhabited by several different ethnic and linguistic groups. This territory is usually and most conveniently broken into Lower Macedonia (the coastal lowlands) and Upper Macedonia (the mountainous highlands). This division is inadequate at best, however, because both Lower and Upper Macedonia were inhabited by several groups, an particularly because Upper Macedonia at times covered territory in northern Pannonia or out into the Epirote hinterland.

The ruling Macedonian class lived mostly in Lower Macedonia, where there was a large Greek population. The vast majority of the population of Lower Macedonia was, in historical times, closely related to both the Thessalians and the Thracians, which is clearly seen in the Macedonian dialect of Greek. Although this was technically a dialect, Macedonian Greek differed very greatly from the Classical forms of Greek in that it was extremely archaic, preserving forms and constructions that had fallen out of most dialects of Greek in the Archaic Period or earlier. Macedonian society as a rule was extremely conservative, preserving institutions for which we have no parallel in the historical period, but which it seems likely other Greek-speaking groups practiced before or occasionally during the Dark Age.

It's important to discard our modern concept of ethnicity and the term "indigenous" when speaking of people in the ancient world. Such ideas are not only anachronistic, but they also do not adequately describe the relationships between different ancient peoples. One thing that Finley stresses is that it's very difficult to talk of any sort of "Greek race," since the Greeks (like most of their neighbors) thought of everyone who spoke a form of Greek as being Greek. This is common throughout the ancient world, in that ancestral ties are demonstrated in the continuation of similar or identical linguistic and cultural traditions. It is for this reason that we cannot speak of an Indo-European race, or even speak of the Indo-Europeans as a group of related peoples.

Now, the Greeks preserved the tradition that a generation after the end of the Trojan War the kingdoms of the Argives were wiped out by the invasion of the Heracleidae, who returned to the Peloponnese to reclaim their inheritance. They brought with them the Dorians, who were Greek tribes that traditionally inhabited northwest Greece. There has been a great deal of work on this tradition since the early 20th Century, and a large part of it seems to be more or less accurate, in that there was some outside invasion of the cities of the Peloponnese (although it's very uncertain whether this attack was what wiped out the palace structures there or whether this occurred after their destruction). Mycenaean Greek seems largely unrelated to the Dorian dialect spoken in the Peloponnese during historical times, and more closely related to certain other dialects that the Greeks considered autochthonous. Much modern scholarship has shown the close relation between Macedonian Greek and a projected primitive form of Doric, and the close similarities between Macedonian traditions and early Dorian traditions seems to support a close connection there.

In any case, by the historical period the Macedonian ruling class was accepted (grudgingly) by the lowland Greeks as being Greek, with an established pedigree tracing back to Heracles and Peleus. By about the 4th Century most Lower Macedonians were accepted as being either Greeks or Thracians, although a few groups traced their lineage to the inland Epirotes, who are themselves a pretty strange group. Upper Macedonia is an extremely tricky subject. The majority of the groups inhabiting Upper Macedonia were largely related to the Pannonian language family, but there were myriad language groups up there, and a great deal of shifting went on. Mind you, Upper Macedonia is really only a part of the kingdom of Macedon by name, and Upper Macedonians were not considered actually Macedonians, but instead Pannonian or whatever. They only can be called Macedonians due to their allegiance to the Macedonian kings. However, Upper Macedonia was largely ignored by the rulers and pretty much everybody else. Taxes were...sort of levied there, and the local barons raised levies of light troops when called on (Philip was revolutionary in that he not only formed the Phalanx, but he actively recruited not only Macedonian Greeks but also Pannonians to serve in it, increasing the size of his army greatly). Generally the Upper Macedonians did whatever they felt like, and the Lower Macedonians didn't really care. So it's a bit difficult to say whether they should properly be called Macedonians at all--most scholars don't.