Mobilises your effort
Goals can be powerful motivators. Effective goal setting helps you develop a clear pathway of what you need to do, making you clearly aware of the effort you need to put in. Effort is obviously important, as it doesn't matter how talented you are, if you don't put the effort in, then it will be almost impossible for you to achieve any meaningful goal.
Athletes get better when they are motivated to get better. You are more likely to work harder and put more effort in when you have set a goal, compared to when you have not.
Striving to obtain a goal also gives you a greater sense of control, as you actively making decisions to influence your life and create positive outcomes. When you have a greater feeling of control, your motivation and effort is more likely to be sustained.