People go on pilgrimages to take a retreat from the normal life to focus on spiritual virtues, to honor a certain place, to fulfill a task recommended by their religion, or to ask for help or aid from a deity. Pilgrimages are made by people who follow all different religions. They are not particular to one religion.
Many Catholics make pilgrimages to Rome as it is the heart of the denomination while people who follow Islam make pilgrimages to Mecca. Jewish people may journey to the Holy Land. A pilgrimage is a focus on spirituality, and, therefore, it is not a vacation or an opportunity to sight-see.