Here's why:
* "Set" is the base verb.
* "Out" is a particle that adds meaning to the verb, changing its meaning from simply "set" to "begin a journey" or "start a task."
* "For" is a preposition that indicates direction or destination.
Together, the three words function as a single unit with a specific meaning.
Examples:
* "They set out for the mountains." (They began a journey towards the mountains.)
* "I set out for a new career path." (I started working towards a new career.)