‘And being warned of God in a dream that they should not return to Herod, they departed into their own country another way.'
Having paid homage to the King of the Jews the Magi began to plan their journey home, but they were warned in a dream that they should not return to Herod. But to whom did the dream come? We are not told. Perhaps then it was to Joseph, the man with the gift of dreams? (Note how there is here the same wording as where Joseph is in mind in Matthew 2:22). Or perhaps it was to one of the Magi or even to more than one? Matthew is not interested in who the recipient of the dream was, (and perhaps his source did not tell him). He is only interested in its divine source. He does not want to direct attention to human beings, for salvation history is being played out. Joseph therefore may well have been the source and it would fit in with his clear gift in that direction. On the other hand we can argue that it was anonymous precisely because it was to one or more of the Magi. The angel of the Lord might very well not have appeared to them in this dream. A warning dream would be sufficient.
In strict obedience to the dream the Magi took a way out of Judaea which avoided Jerusalem, and made their way back to where they came from.