Because they were seeking freedom to practice their religion as they saw fit.
The Massachusetts Bay Colony received a charter from King Charles I of England. They presented the settlement effort as a profit-making venture to the New World, rather than a religious enterprise. But that was mainly to get the king's approval on their plans. Charles I had not been favorably inclined to religious dissenters like the Puritans. But in getting a charter from the king to go to settle in the New World, they were indeed seeking a place where they could practice their religion without interference.
