The blood won't just go somewhere else in your body. The purpose of a period is to shed the lining of the uterus (which of course causes bleeding). The only reason this happens is to make the environment welcoming for a newly fertilized egg.

Every woman's body is different- some are able to skip their period every month with certain types of birth control, some are not. And some have to skip theirs due to medical issues (extreme pain, too much blood loss causing anemia, etc).