Socrates, the first philosopher to turn knowledge into a tool for questioning our lives and finding ways to live better, explained why: when you travel (or for that matter attend a party), you always take yourself with you.
Regardless of what we think will bring us happiness - that fancy travel destination, moving to a new city, finding a new job, etc. - we will always be there. If we ourselves are inherently unhappy, we will remain unhappy in that new situation. Perhaps there will be temporary happiness (Hedonic Treadmill) but that happiness will pass and we will be left with what was already there. Happiness is not found in the external.
