Well, most scholars approaching it from a historical-critical (or "liberal") perspective would simply discount the whole thing as a myth that's sprung up around the historical Jesus, and would leave the question there.

Among others of a more historical-grammatical (or "conservative") perspective, who think there's more historicity to the Gospels, the general supposition seems to be that the Magi were probably Babylonian in origin. Though it's often translated "wise men," that's not really the best rendering; it's a more particular term. The Old Testament book of Daniel also mentions Magi in Babylon, and Herodotus describes the Magi as one of the six tribes of the Medes and as a priestly class/tribe among them. So in saying "Magi from the east" the author is probably intentionally evoking these kinds of court magicians and astrologers the Jewish people encountered at the Babylonian/Persian court in their exile there. The astrological connection is reinforced by the fact that they follow a star to get to Bethlehem. Herodotus and Daniel both speak of these Magi as interpreting dreams, occupying priestly functions, advising the king, doing astrology, etc. The popular notion of them as kings is entirely without historical or textual basis, catchy songs like "We Three Kings of Orient Are" notwithstanding.

Follow-up question: Was the idea of the magi borrowed from an earlier story?