Heaven is not a physical place, no. But he ascended up into the air out of sight, and then adjourned directly to Heaven.
“Why did he not just vanish or disappear?”
The Son went to a good deal of trouble to incarnate as true God and true man, die in a body, and rise in a glorified body. He was not going to ruin it all at the last minute with some sort of ghostly disappearance. Also, there are a lot of prophecies and psalm verses which go along with the Ascension, and which He meant to fulfill.
Finally, by ascending into the East, He gave Christians a direction in which to pray and to be buried, and pointed to still more psalm verses about the Sun like a bridegroom and from which direction (east) He meant to come back.That’s why churches and graves traditionally faced east.