Imagine a couple going on the left sidewalk but this side isn't comfortable as the second side is, and then the girl asks the guy beside her "Why are we going ___ this side"? What preposition would be correct to choose in this context?
"Why are we going in this side?"
"Why are we going on this side?"
"Why are we going by this side"?
I created a photo with an explanation to make my question understandable.