I haven't seen Stone's film. The idea that Alexander wanted to take on Arabia has been discussed in far more credible portraits, among them Robin Lane Fox's excellent biography. If he did want to conquer it, it was probably so he could complete his "merging of the races" plan he had begun with the Persians and Greeks. One world, one people--but through conquest and not hippy talk.
To borrow a line from George Mallory, "Because it is there."