The first place Mo Wuji went was the Devil Moon Immortal School where Lin Gu had brought him to the Soul Condensing Immortal Pond many years ago. When he was pulled by the force within the Soul Condensing Immortal Pond, he had handed Cen Shuyin over for Lin Gu to take care of her.
The reason he had established Ping Fan openly in the Extreme Sea Glade as well as to destroy the Great Sword Path in such high profile was so that he could announce his return to the Immortal World. He was hoping that Lin Gu and Cen Shuyin would find their way to Ping Fan upon hearing his name.
However, it had already been quite some time since Ping Fan was established yet neither Lin Gu nor Cen Shuyin returned so he made his decision to search for them instead. Mo Wuji was clear that looking for Cen Shuyin in the vast and boundless Immortal World would be equivalent to looking for a nail in the sea.