Macedonia is only a "geographical region" is what the Greeks say?

This "geographical region" is shared by four countries. Can someone explain to me why Macedonians live precicely in this whole region? I mean, I know this for a fact because I have known people that come from the whole shared region that identify themselves as "Macedonian" and they all speak the same language. I have met people from the Albanian part, Bulgarian part, Greek part and from the republic of Macedonia and they all speak the same language and they all identify themselves as "Macedonian".