Here's why:
* Intransitive verbs do not take a direct object. They express an action or state of being without acting upon something else.
* Transitive verbs require a direct object to complete their meaning. They indicate an action that is done to something or someone.
In the sentence, "went" describes the action of moving, but it doesn't act upon anything. The phrase "to the mall" indicates the direction of the action, but it's not a direct object.