This is an excellent and very interesting question. As you know, Alonso Quixano (the main character's birth name before changing it himself to Don Quixote de La Mancha) was a retired man, nearing his 50's, who lived in the country accompanied by a servant and a niece. If we look closely at his character you can tell that this man was feeling the beginnings of a depressive state perhaps caused by agricultural depression (isolation from the city, as he lived apart in the country), and probably as a result of loneliness.

From seeing his former life prior to his "fit" of insanity, we can almost conclude that his transformation was necessary for him to occur. Other than that he would have remained in obscurity wondering what was missing from his life. He may have picked up a menial task but, as a man with some means, he would have become disdainfully bored.

He was obviously a man with a heart for adventure and it would have been criminal nearly to deny him the opportunity to chase his dreams.