They didn't know. In fact, at that time the 3 shepherds didn't know. It became known to them after they left Pilot. Pilot believed the shepherds would let him know when the Christ Child was found. But they didn't.
You are correct anon. The shepherds way a sign in the heavens and went to Herod saying the Christ Child has been born. Nobody actually knew where at that moment. Herod talked it over, then told them go and search and when you find the Child send back word to me so I can come and worship him.
After the Christ Child was found an angel warned the shepherds not to inform Herod so they went back home by another way.