Why didn’t they attack or send a diplomatic delegation?

The common story of Alexander's campaigns makes it sound as if his invasion took the Persians by surprise - that they had not thought either Philip or Alexander would actually dare to attack them. This is simply false. By the time Alexander arrived in Asia, there had been a full-on war between Macedon and Persia for several years. It had started in 340 BC, when Philip besieged Perinthos and Byzantion and threatened to seize complete control of the European side of the Hellespont. Mercenaries in Persian service landed in Europe and drove Philip back from Perinthos (Demosthenes 11.5). Philip's despatch of a force into Asia Minor in 336 BC was simply the next stage in the escalation of this conflict.

Initially it seems the Macedonian force under Parmenion, Attalos and Amyntas was highly successful; they ousted pro-Persian governments from the islands of Lesbos and Chios as well as the major coastal city of Ephesos, which is quite far south from where they landed. There is some indication that Parmenion also advanced further inland. During the winter of 336/5 BC, much of the northwest of Asia Minor and the Aegean islands may have been effectively under the control of the Macedonians.

In the following campaign season (335 BC), though, they lost nearly everything they had taken. Our sources claim that Darius III was emboldened by the assassination of Philip; he expected Alexander to be a weaker opponent, and rightly relied on the fact that succession in Macedon was rarely smooth. Alexander in fact did have to spend the first year of his reign murdering rivals (including Attalos, one of the commanders of the army in Asia Minor: Diodoros 17.2.3-6) and putting down rebellions across his realm. Darius seized the opportunity and ordered his subordinates to attack.

It is likely that the men in charge of the counteroffensives were the local satraps, Arsites and Spithridates. But we hear nothing of their actions, except that they defeated a Macedonian commander named Kalas in pitched battle and forced him to flee to a stronghold on the coast (Diod. 17.7.10). We know a little more about the simultaneous campaign of Memnon of Rhodes, who led an army of 5,000 mercenaries in an attempt to retake Kyzikos on the Hellespont. A late source tells us he defeated Parmenion and Attalos in battle at Magnesia, but failed by a hair in his attempt to infiltrate and capture Kyzikos (Polyainos 5.44.4-5). Later in his campaign, he forced Parmenion to break the siege of Pitane in fear of his army (Diod. 17.7.9).

The evidence for the defeat of the Macedonians elsewhere in Asia Minor is circumstantial. When Alexander the Great arrived in Ephesos in 334 BC, we are told that he had to stop the population from murdering those among them who had favoured the Persians, including "those who had thrown down the statue of Philip in the temple." The Persian puppet tyrant Syrphax is mentioned by name (Arrian, Anabasis 1.17.11-12). Most historians take this as evidence that (1) Ephesos had been liberated in 336 BC, had ousted its pro-Persian ruler, and had set up a statue of Philip in gratitude; but (2) the city had fallen into Persian hands again shortly after, and the acts of the revolutionary government had been undone. Clearly, the Macedonians were no longer in control of the area when Alexander arrived, and he had to re-liberate it. Something similar is known about Lesbos and Chios (which would in fact be retaken by the Persians after Alexander had moved on).

In short, when the Macedonians invaded Asia Minor for the first time, the Persians did not just sit there wondering what was going on. They suffered initial losses, but came back strong the following year. According to Pierre Briant, the sum of the evidence is that "at the beginning of 334 BC, apparently only Abydos was in Macedonian hands." No more than a bridgehead, indeed.