The only religious people I know of who go to confession are Catholics, who do so because it is a long standing Catholic tradition, and tradition is a major driving force in any religion. For Catholics, I think priests have a special intermediary standing between God and man. For example, they can administer the "eucharist", which is a ritual in which a bread wafer and wine is thought to actually transform into the literal body and blood of Jesus Christ. This is thought a necessary channel for divine grace to flow to human beings, and it is only possible when administered by a priestly intermediary. Such ritual, myth, symbolism, and tradition is universally present in religion, perhaps because of whatever brain physiology and evolutionary/social forces are responsible for the existence of religion. As to the exact nature of that physiology and evolutionary/social impetus, I do not know.
(note, just because I refer to evolution does not mean I am an atheist)