They are going somewhere. Somewhere they consider more real.
Guardians are part of how they get there.

What if Savathûn wants to go there too?

JALAAL >> REY

...if you say there is somewhere more real than here, you are
implying that we are not real.

This is the simulation argument. That we are ghosts in some
other world's machine. Then there are no real stakes in our war
for survival because even if we are extinguished, we were never
more than phantoms.

I refuse to accept this.

REY >> JALAAL

Oh, don’t be so timid! An Arach of Dead Orbit driven to despair
by the thought of other universes, when you should know the
lore of Hubble volumes and Tegmark hierarchies by heart!

Our existence is real to us, vitally real, because it is ours.
it’s the only one we have. Even if we are simulations or
imaginations, we have an inner life as rich as any “real” living
thing, and so, we are equally real! When we die, we are dead,
dead, dead.

We believe there are many timelines; does that lead us to
discount the reality of our own? Do we stop caring about
ourselves, Ikora Rey and Arach Jalaal, because in another
timeline, we are already dead? Do I punish you because in
another timeline, you murdered me? What matters to us… is us.

But it is possible for realities to be concatenated. The Awoken
Distributary is an infinite universe, but it exists within our
universe.

The Truth to Power documents constantly return to the 
question of black hole singularities, to their value as computers
and as secret keepers. We are told our true purpose as
Guardians is to hurl all we value into a black hole. We are told
that Savathûn wants to enter the Distributary and slaughter
Those within to gain power.

The Pathria-Good black hole cosmogenesis principle of Golden
Age physics confirms that the interior of a black hole is a new
universe: all black holes produce their own interior cosmos. All
cosmos, including our own, are probably the interior of a black
hole in a parent universe.