zigbee seies 2 (xbee model ) , zigbee + microcontroller
The XBee devices do have built-in microcontrollers.

However, Digi does not make a SDK, or the resources required to compile your own firmware image available for the Series-2 XBees.

You could probably theoretically reverse-engineer the modules, and write your own firmware for them. However, judging from the fact that you're asking this question, I think that's a bit over your head at the moment.