Macbeth is certainly referring to the three witches in the letter to his wife. Evidently she has already read the first part of the letter in which he describes the appearance of these witches and then goes on to say, "They met me in the day of success [that is, after the victory in the great battle], and I have learned, etc." The next sentence his wife reads confirms that "They" are the Weird Sisters. "When I burned in desire to question them further, they made themselves air, into which they vanished." We know that in Act 1, Scene 3, Macbeth tried to stop them and question them further, and no others could have made themselves air and vanished.
Shakespeare devised this letter because he wanted Lady Macbeth to know about the amazing prophecies before Macbeth arrived at the castle. This incites her to soliloquize about her husband's character, which is "too full o' th' milk of human kindness," and to express her intentions as follows:
Hie thee hither,
That I may pour my spirits in thine ear
And chastise with the valor of my tongue
All that impedes thee from the golden round,
Which fate and metaphysical aid doth seem
To have thee crowned withal.