The Mormons make the same argument. That Scripture is insufficient.
However, John has written why Scripture is sufficient.
13These things I have written to you who believe in the name of the Son of God, so that you may know that you have eternal life. 1 John 5:13 NASB
The whole point is that it is not "sola scriptura."
But as for: " Please show where Jesus said we had to go to a priest for confession." I am more than happy to comply:
Jesus said to them again, “Peace be with you. As the Father has sent me, so I send you.” And when he had said this, he breathed on them and said to them, “Receive the holy Spirit. Whose sins you forgive are forgiven them, and whose sins you retain are retained.” (John 20:21-23)
Try as you might that does not say we have to go to a priest for confession.
The disciples forgave the sins when they preached the Gospel.
37Now when they heard this, they were pierced to the heart, and said to Peter and the rest of the apostles, “Brethren, what shall we do?” 38Peter said to them, “Repent, and each of you be baptized in the name of Jesus Christ for the forgiveness of your sins; and you will receive the gift of the Holy Spirit. Acts 2:37-38 NASB
Now you please show me where in the NT it says the Bible alone.
16All Scripture is inspired by God and profitable for teaching, for reproof, for correction, for training in righteousness; 17so that the man of God may be adequate, equipped for every good work. 2 Timothy 3:15-16 NASB
Please show me where in the NT it says "this is my Body" does not mean exactly that.
and when He had given thanks, He broke it and said, "This is My body, which is for you; do this in remembrance of Me." 1 Corinthians 11:24 NASB
Please show me where in the NT it says we are saved by faith alone.
8For by grace you have been saved through faith; and that not of yourselves, it is the gift of God; 9not as a result of works, so that no one may boast. Ephesians 2:8-9 NASB
And how is a priest to know whether to forgive or retain a sin if the penitent does not speak to him?
The disciples forgave the sins when they preached the Gospel.
That is not what the passage says. This is just another example of Protestants substituting their own manmade traditions for the clear words of the Scriptures.
16All Scripture is inspired by God and profitable for teaching, for reproof, for correction, for training in righteousness; 17so that the man of God may be adequate, equipped for every good work. 2 Timothy 3:15-16 NASB
Again, it does not say Scripture alone.
and when He had given thanks, He broke it and said, "This is My body, which is for you; do this in remembrance of Me." 1 Corinthians 11:24 NASB
"This is my Body," not anything other. Nowhere in Scripture does it say that the Eucharist is anything other than the Body of Christ. The Protestant tradition that denies this is not based on Scripture.
8For by grace you have been saved through faith; and that not of yourselves, it is the gift of God; 9not as a result of works, so that no one may boast. Ephesians 2:8-9 NASB
Grace alone, not faith alone. The words of our Lord, as well as Paul and Jame, make this clear. "Faith alone" is an invention of Martin Luther; it is not to be found in Scripture.