Of course we do, but some people, for whatever reason feel they need extra help in communicating with Jesus. They pray to Jesus through His Mother because they believe she's a powerful intercessor for us with Jesus, because He loves her so much.
Mary doesn't lead us away from Jesus; quite the contrary. Revering and honoring His Mother is just what Jesus did; we're only emulating His love for His mother.
The reason I pray directly to Jesus, is that he loves me MORE than his earthly mother, Mary. How do I know that? Because he did not die for Mary, but he did die for me, and said the following:
"GREATER LOVE hath no man than he lay down his life for another."
There is no example I know of in the Bible where it suggests we pray for intercession from dead people. Certainly, there are teachings of praying for other people and praying in agreement with others. To me it makes no Biblical sense to pray through Mary. Jesus taught us to do things in His name. Mary is an incredible Biblical figure, but praying through her makes about as much sense as praying through Moses or Abraham.