Depends on which "Proteas" you're talking about. If it's generally about Protea (Proteaceae) family plants, they grow anywhere from cool mountains, hot deserts, rainforests, swamps, etc., etc. The majority, however, are from a mediterranean climate and would do well in places like California. Macadamia are Protea family plants, but from a more temperate rainforest type climate.
If you're talking about Protea genus, then that's more restricted, being mainly mediterranean climate plants.
Hm, I always thought they were native to South Africa but this article http://en.wikipedia.org/wiki/Protea says they are native to S. America, Australia and parts of Asia, too. Seems like they were introduced to Europe, but the greatest diversity of types is in South Africa.
Such interesting plants, wish we could grow them here, but it's definitely too warm and tropical in summer.