Because it comes at the start of a fragment, we don't get a little prologue setting the tale in the context of its teller - and, in its epilogue, the Physician himself doesn't speak. We don't, therefore, actually know for sure why he is on the pilgrimage: Chaucer doesn't specify. And in the case of the Physician, it's quite a problematic question.
Normally you'd assume a pilgrim would go on a pilgrimage for religious fulfillment, or spiritual discovery. But, Chaucer pointedly tells us in the "General Prologue", that though the Physician is a "verray, parfit praktisour" of medicine - an excellent doctor - and extremely well read in medical literature, "his studie was but litel on the Bible".
So what? The Physician doesn't read the Bible much. Well, how then are we to read his supposedly religious tale which ends advising us to "forsaketh synne"? Is this really the right person to be handing out religious morals: and isn't his tale anyway more about bodily decapitation than spiritual rebirth, as you might expect from a doctor? And why is he on a religious pilgrimage, telling religious stories?
Your question, I'm afraid, only points up several more which Chaucer leaves elusively unanswered.