The statement above does not have 'to' before the destination. We can write 'going home' without 'to'. Where else can we skip 'to'?
home is a strange word. It can be a noun:
Our home is in the centre of town
It can also (and this is unusual) be an adverb:
I usually go home at about 5pm
shopping mall is a noun and, like most nouns, it cannot be used as an adverb. You can make a noun into an adverbial phrase by adding a preposition:
... to the shopping mall
... at the shopping mall
... from the shopping mall
Your sentence is therefore only correct if you add a preposition and a determiner (a or the):
We are going to the shopping mall
English is not the only language to treat home as a special case, though treating home as an adverb is unusual: most languages have a special verb for coming/going home- rentrer in french, rawwah in Egyptian Arabic, pulang in Indonesian.