Mainly because a theme discussed in this collection of novels is courage and fear. In this series, some characters have gained special honors and achievements by facing their inner fears and surpassing themselves. This courage enables them to explore the unknown world and enjoy it, and this sentence expresses the meaning of this courage.
The myth of Cthulhu also emphasizes the fear of the unknown and the courage to challenge the limits of self, which is also the meaning of this sentence.