Oedipus's above-average intelligence, which enabled him to solve the Riddle of the Sphinx when no one else could, also drives him to KNOW things, to leave no tantalizing question unanswered. The thought that he might not be the biological son of the people he knew as his parents drove him to the Delphic Oracle (although his response to its answer showed a flaw in his reasoning), and his desire to identify the killer of Laius leads him to launch the investigation that ultimately destroys him. When he first sends for the Shepherd, it's because the Shepherd is the only living witness to the murder, and he hopes to hear the man confirm his original report, that Laius was killed by a band of robbers and not by Oedipus himself, as Teiresias has just thrown up to him. (Notice that even at that point, Jocasta tries to dissuade him, saying that the Shepherd can't change his original story now.) Then when the messenger from Corinth tells him that he, the messenger, knows for a fact that Oedipus wasn't the son of the King and Queen of Corinth and the chorus adds that the Theban servant Oedipus has already sent for is the man the messenger is talking about, the man who gave the baby Oedipus to him, Oedipus reverts to the earlier question that he has never been able to answer and grills the Shepherd not about the murder of Laius but about the baby he gave away years ago. By now, of course, Jocasta has realized exactly where this investigation is leading and begged Oedipus in vain not to pursue it, but he refuses to give up the opportunity to find the answer to a question that has been hovering over him for years. So, pull back? No way! I think we're meant to accept that it doesn't cross his mind until it's too late to pull back from the edge that the baby Laius and Jocasta had abandoned on that mountain and the baby the Shepherd gave to the man from Corinth there were the same one.
