What does Matthew 2:12 mean?

The wise men had fulfilled their quest. They had found the Christ of Israel, the child born to be the "King of the Jews." Their study of the Jewish Scriptures and their tracking of a strange star had been validated at last by the opportunity to worship this long-promised savior of Israel (Matthew 2:1–2).

Their arrival in Jerusalem, however, had alerted the current political king to a potential threat to his own power. He sent the Magi to Bethlehem to find the child with instructions to let him know if they did so. He claimed to want to worship the boy himself (Matthew 2:3–8). His true motives become clear in the following verses. Herod wants to eliminate even the possibility of a threat to his own Rome-backed reign over Israel.

The wise men might have been entirely unaware of this plot by Herod. Based on this verse, they probably planned to go straight back to Herod and announce they had found the new "King of the Jews." God interrupted that plan in a similar way to his interference in Joseph's plan to break off his betrothal to Mary when he learned she was pregnant: a dream (Matthew 1:20).

We're not told whether an angel was involved in this dream or how many of the wise men experienced it. All we know is that it was convincing enough to cause them to leave town without returning to Jerusalem or King Herod. The wise men not only kept Jesus' location secret from Herod, they left secretly so he would not even know how long they had been gone.

God supernaturally intervened to protect Jesus during His youth, and He will do so again in the following verse.