While some VCs like to invest only in companies that are located near them (which makes it easier to follow the startups' progress) others do invest abroad. If your company is worth investing in, then investors will come.
You said that you are interested in building a company... It takes a while between the time that a company is started and when it is big enough for a VC to invest in it. They won't invest less then $1M, which means that your company needs to be worth at least that much. Until you get that big, you can try to get an investment from the 3 F's (Family, Friends and Fools) or from an angel investor.
There are plenty of considerations when choosing in which country to start a company, including where the main market is, taxes and other legal issues, where your family and friends live and many other things to consider. The internet and globalization make these choices even more interesting.
I saw in your profile that you are from Australia. You might want to check out the The Australian Private Equity & Venture Capital Association ( http://www.avcal.com.au/ )