It is only a recent phenomenon in human history, in the last few hundred years, that all the places in the world are known. For hundreds of thousands of years, there have always been new lands and oceans for our kind to explore. Indeed, until the last ~20k years, we all existed in a near constant wandering state. Thats how we survived, and the lifestyle is still practiced today, albeit only in very tiny numbers in remote places.
Even with civilized life, i.e. villages, towns, and cities, for thousands of years people have jumped on ships or made years-long treks across oceans and continents to build new lives. Some of this was the desire to be free, or it was forced, or it was from desperation, or it was simply to explore.
Simply because we almost all live in a vastly interconnected world now doesn't mean that any of those reasons have disappeared, or that the kinds of people willing to take such risks have died out. We're still here, if latent, amongst the masses.
Many of us spend our youth traveling the world, climbing the next mountain. Many others lose themselves in vast game worlds where we can, for short times, satisfy the need to explore and build new lives. Some games such as WoW, Eve Online, Secondlife, and Civilization are so popular in part of because of these desires and needs.
So when you ask, "Why?", I say "Why not?". You are free to stay here. I want to go see what's out there.