Two possible reasons for this depending on what you want to believe about the nature of our pilgrims and their pilgrimage.
The nice version is that he led them because of his ability to play the bagpipes well. In this manner, he sets off for Canterbury playing a lively tune that sets the mood for the entire journey.
I prefer to believe he led them because of his true nature. The miller was a bawdy and obnoxious individual who possessed a strong physical presence. It's very possible that he loudly decided he was leaving and everybody else was forced to follow him.