That is what he is "programmed" to appear to do. All is for the benefit of Neo's development. He had to chase down the Keymaker which would lead him to the Architect. Of course, Neo doesn't know this fact. He doesn't even know of the Architect at this point. All was designed to steer him in that direction. He had to find to door to his further development. The Architect is the last important hurdle.
It is a trinity in itself... The Oracle led him to Merovingian who has the keymaker, and that encounter led Neo to the Architect.