They say that because that's what they were told and they have never researched it.
Those Magi were actually astrologers from the east. (Matt. 2:1, 2, NW; NE) Although astrology is popular among many people today, the practice is strongly disapproved in the Bible. Would God have led to the newborn Jesus persons whose practices He condemned? Matthew 2:1-16 shows that the star led the astrologers first to King Herod and then to Jesus and that Herod then sought to have Jesus killed. No mention is made that anyone other than the astrologers saw the “star.” After they left, Jehovah’s angel warned Joseph to flee to Egypt to safeguard the child. Was that “star” a sign from God or was it from someone who was seeking to have God’s Son destroyed?
Note that the Bible account does not say that they found the babe Jesus in a manger, as customarily depicted in Christmas art. When the astrologers arrived, Jesus and his parents were living in a house. As to Jesus’ age at that time, remember that, based on what Herod had learned from the astrologers, he decreed that all the boys in the district of Bethlehem two years of age and under were to be destroyed.—Matt. 2:1, 11, 16.
research and 50 years Bible education.