Alexander used the vast army built by his father Philip to go punish the Persians for their invasion many years previously. Many of the Macedonians and the Greeks wanted revenge, so he had no trouble getting people to participate. After conquering Persia, Alexander wanted to continue and grumbling starts that Alexander is pursuing self glorification rather than the original mission of revenge. Although the riches of conquest were pouring back to Macedonia and Greece, this wasn't supposed to be a mission of just random conquest, and Alexander had overstepped his bounds.

If Alexander started out from Macedonia to go west, I'm doubtful he would have had backing for that. There weren't a lot of riches in that direction, and that is not the purpose that the people would have supported.

Long story short? He died to young. He was still mopping up resistance in the Persian Empire when he died in Babylon. But, his uncle Alexander of Epirus went west and died there. After he conquered Asia, Alexander the Great was certainly planning on going west