Rishis could go anywhere at will like Vyasa.
And Krishna-Dwaipayana, when he met his mother as before, informed her as to how he had been deceived by the seniormost of the princesses and how he had begotten a son upon a Sudra woman. And having spoken thus unto his mother the Rishi disappeared from her sight.
How can a person get the power of going wherever at will?
Such powers are called Yogic Siddhis (occult powers). A highly adept Yogi, by severe practice of Yoga, can achieve those powers.
The mighty Yogi having attained, through pranayama, tho eight sorts of psychic powers, and having crossed the ocean of virtue and vice, moves about freely through the three worlds.
Then gradually lie should make himself able to practise for three ghatis (one hour and a half at a time, he should be able to restrain breath for that period). Through this, the Yogi undoubtedly obtains all the longed-for powers.
The Yogi acquires the following powers :—vakya siddhi (prophecy), transporting himself everywhere at will (Kamachari), clairvoyance (duradristhi), clairaudience (durashruti), subtle-sight (shukshma-drishti), and the power of entering another’s body (parakaypravesana), turning base metals to gold by rubbing them with his excrements and urine, and the power of becoming invisible, and lastly, moving in the air.
From Shiva Samhita's Chapter 3
So, becoming invisible, going anywhere at will etc. are all Yogic powers obtained by severe practice of Yoga, Pranayama under the guidance of a Guru.
