Martin Luther did not condemn pilgrimages as much as several other practices but his loathing of pilgrimages is quite clear in his writings. As with many things in the reformation, Luther's earlier writings moderately condemn the practice and then his comments tend to become more severe as the reformation matured.
Early in the reformation, Luther attributed pilgrimages to primarily an indicator of 'boredom' and 'lack of responsibility' to one's own church and family:
Those who make pilgrimages do so for many reasons, very seldom for legitimate ones. The first reason for making pilgrimages is the most common of all, namely, the curiosity to see and hear strange and unknown things. This levity proceeds from a loathing for and boredom with the worship services, which have been neglected in the pilgrims’ own church. Otherwise one would find incomparably better indulgences at home than in all the other places put together. Furthermore, he would be closer to Christ and the saints if he were not so foolish as to prefer sticks and stones to the poor and his neighbors whom he should serve out of love. And he would be closer to Christ also if he were to provide for his own family. (Luther's Works Volume 31.198)
Later, Luther thought the desire to go on pilgrimages might indicate which kingdom you belonged to, God's or the Devil's. Luther thought those who had real faith would give themselves up to God, However there were some great errors in evaluating yourself to determine if you have given your life to God and the first error implicates the idea of a 'pilgrimage':
The first is committed by those who run hither and yon for the purpose of becoming righteous, of entering God’s kingdom, and of being saved. The one runs to Rome, the other to St. James; one builds a chapel, another donates this, still another one that. However, they refuse to face the true issue, that is, they will not give their inmost self to God and thus become his kingdom. They perform many outward works which glitter very nicely, but inwardly they remain full of malice, anger, hatred, pride, impatience, unchastity, etc.
It is against them that Christ spoke when he was asked when the kingdom of God was coming, “The kingdom of God does not come with outward signs or appearances; for behold, the kingdom of God is within you” [Luke 17:20–21]. Christ also says in Matthew 24 [:23–24], “If anyone says to you, ‘Lo, here it is!’ or ‘There it is!’ do not believe it.
Those whom God has commanded a man to keep in body and soul he leaves behind, and wants to serve God in some place or another, something that was never commanded. No bishop forbids and no preacher rebukes such a perverse practice. In fact, in the interests of their own covetousness the clergy endorse such practices. Every day they think up more and more pilgrimages, canonizations of saints, and indulgence fairs. May God have mercy on such blindness! (Luther's Works Volume 44.86, 1520)
As is usual with Luther, as the reformation progressed we find his blasts against the practice more severe. He personally ties in pilgrimages together with the practice of those travelers visiting prostitutes, meeting up for 'sex'. It is not clear if the 'getting together' for 'sex' in reference to the Pope is also bound together Luther's claim of practiced sodomy among clergy, or not: (See this post for Sodomy references).
“Every false religion is contaminated by libidinous desires. Just keep an eye on sex. What were pilgrimages [under the papacy] but opportunities to get together? What does the pope do now but besmirch himself unceasingly with lust? In order that they might satisfy lust the more, well-situated places, beautiful fountains, trees, hills, and rivers were sought out for pilgrimages.
“The heathen held marriage in more honor than the pope and the Turk. The pope hates it; the Turk despises it. It is the devil’s custom to hate the works of the Lord. He’s hostile to whatever God holds dear—the church, marriage, government. He’d like to have whoredom and uncleanness, for if he does, he knows very well that people will no longer trouble themselves about God.” (Luther's Works Volume 54.422, 1542)