Matthew 2:12

Kαὶ χρηματισθέντες κατ’ ὄναρ μὴ ἀνακάμψαι πρὸς Ἡρῴδην, δι’ ἄλλης ὁδοῦ ἀνεχώρησαν εἰς τὴν χώραν αὐτῶν.

And having being warned in a dream that they should not return to Herod, they departed for their own country by another way.