In the sciences, we collect raw data in order to form conclusions. (Basically, we apply inductive reasoning.)
Generally we are interested in the relationship between two or more variables, in particular we suspect dependence. If there were no correlation between the variables, on what grounds could we demonstrate dependence?
This is true not just of the behavioral sciences but sciences in general. For example there is the famous story of Galileo rolling balls down an inclined plane. By collecting lots of data and looking at correlations (or lack thereof), he was able to conclude that the time it takes for the object to reach the ground when dropped from a given height depends only on the height, and not on the mass of the object.