You would be correct, confessing to a priest would make no sense if Jesus had not established the practice. However if we read the Scriptures, we see that Jesus was condemned by the priests in the temple for forgiving sins. They did not know or see what we know and see in Jesus, that He is the second person in the Trinity. He is God incarnate. Before Jesus ascended into heaven He told His Apostles,
“And Jesus came and spake unto them, saying, All power is given unto me in heaven and in earth. Go ye therefore, and teach all nations, baptizing them in the name of the Father, and of the Son, and of the Holy Ghost: Teaching them to observe all things whatsoever I have commanded you: and, lo, I am with you alway, even unto the end of the world. Amen.” Mtt 28:18-19
He also said to the Apostles,
“Then said Jesus to them again, Peace be unto you: as my Father hath sent me, even so send I you. And when he had said this, he breathed on them, and saith unto them, Receive ye the Holy Ghost: Whose soever sins ye remit, they are remitted unto them; and whose soever sins ye retain, they are retained.” John 20: 21-23
I’ll limit myself to these two passages for now. But in commenting on them I’d like to point out a couple of things. In both, Jesus had spoken to a large following of believers just prior to taking the Apostles aside, and giving them special commissions or commands, and along with these commands special authority. When Catholics confess our sins to a priest, we are simply following the plan laid down by Jesus Christ. He forgives sins through the person who He has commissioned, at first it was the Apostles, but as they being men died, the commission, or authority was passed on to other men, through the offices in the Church of Bishops and Priests…it is God’s power, but He exercises that power through the ministry of the priest. In order for the sins to be forgiven by a priest under normal circumstances, one must tell him his or her sins, be sorry for having offended God, and have the desire, or intention to not sin again. If we are not sorry for our sins, and have no intention of reforming our lives, the confession is not magic, and does not absolve us of our sins.
The Catholic Church does believe that if someone is in danger of death, and a priest is not available, or if one lives somewhere where they do not have access to a priest that person can be and is forgiven simply by going directly to God, admitting his sinfulness, and his sorrow for sinning, and asking for pardon, or forgiveness. But since Jesus gave the authority to forgive sins, why not use all that he gave us to grow spiritually?