Well, he literally has no objective other than to be the Big Bad right now.
It's not like Kars, who wanted the stone. Dio has already basically achieved whatever it was he wanted. All he really needs to do is kill the Joestars when they show up. And he's not going to go out after them because, then we wouldn't have a story arc.
Also, he still dies in sunlight, so that's a good excuse not to travel much.