That form of the question is only likely to be used if the person asking heard " I need to go (to)* so59bhneogtjbntgi" i.e.did not understand what was said and only required clarification of "so59bhneogtjbntg".
A normal form would be simply "Where do you need to go?"
* Edited to add the "to" inadvertently omitted at time of original post.
Grammatically (with correction) the sentence is fine. But without context the response could be anything:
I need to go: something urgent has come up and I need to leave ------> Okay, call me later.
I need to go: I have to go to the bathroom -------------> I'll wait.
I need to go: I'm late for an appointment ----------> Don't let me keep you. I'll see you tomorrow.
I need to go: I don't want to talk to you any more ----------->@#%%$^&