Why make a pilgrimage to John the Baptist?

Because the Messiah is going to clean house and purify Israel. Because they wanted to enter the true Promised Land, even though they were already in the Promised Land. Because they were still in bondage, even though they had left Egypt long ago.

“Like Isaiah surprised by the presence of the Lord in His Temple, who confessed both that he was a man of unclean lips and a part of a people of unclean lips (Isaiah 6:5), those coming to John for baptism were confessing both that theirs was a sinful, adulterous, and unbelieving generation (Mark 8:38; 9:19), and that they personally had participated in it’s sin, adultery, and unbelief. They were admitting that they were still under bondage in Egypt, though Moses had led them out of it so many centuries ago…

“By making the pilgrimage to the Jordan, those who believed John’s message showed that they wanted to be visibly separated from those under judgment when the Lord came. They wanted to be members of the future purified Israel. Undergoing John’s baptism helped them anticipate that they were not only God’s covenant people, but that they would remain in that covenant after God cast others out. In order to be assured that they would be included in the future forgiven Israel whose iniquity would be removed, they needed to repent and ask for personal forgiveness now.” (Mark Hornes, Victory According to Mark, pp. 26, 27, link)