The sense of the witches' prophecy -- as Macbeth takes it -- is that he will NEVER be defeated, not that his defeat is contingent on his being in a certain place. He takes them to mean that his defeat is just as unlikely as, say, the flying of pigs or, in this case, the march of a forest. Of course, he doesn't think to interpret the prophecy in a strictly literal sense, or is too over-confident to think about doing so.
Another thing to keep in mind, of course, is that this is a PLAY, not real life. The actions are supposed to lead to a certain, satisfying conclusion, and sometimes the playwright has to have his characters behave in a way that we in the audience might find a little iffy, but which supports the overall narrative. So, yes, although being given this specific prophecy might cause most of us to want nothing to do with the area mentioned in it, Macbeth's decision to stick around supports the characterization of him as over-confident, and helps to ensure that every one of the witches' prophecies will come to pass (though not in the way anyone expected!).