Actually, Romeo was not heading home. We are told that Benvolio and Mercutio saw him leap over the orchard wall that they have just leapt over in the grounds of the Capulet mansion, and they are trying to find him to take him home with them. Note what Benvolio says:
He ran this way and leapt this orchard wall.
However, Romeo, love-struck and overpowered with his desire for Juliet, hides himself from them until they have gone and he can proceed with his quest to find Juliet and talk with her some more. As Benvolio and Mercutio conclude, there is no point trying to find someone who doesn't want to be found, so they leave him to his amorous thoughts and go back home themselves.
They are not following Romeo home they are looking for him. This is because Benvolio and Mercutio do not know where Romeo disappeared to after the party. Benvolio thinks Romeo jumped over the orchard wall (which he did), whereas Mercutio believes Romeo has gone home to bed. Eventually the two leave Romeo and retire.