First, that directly contradicts what is in their own Bible. Their own Bible asks "To WHOM shall we go", not "WHERE." This is the first fallacy.
Second, if anyone is industrious enough to do additional research or open minded enough to look at other sources, you will find that Jesus wasn't the only person to fit the description. You can find something like 20 others, and Horus is a prime example. All of them are allegories for THE SUN! Yup, the sun. Of course, the Jesus one is the most worthless of them--and the only one that comes with a guilt price attached.
Now, if Christians didn't so zealously destroy ancient religions and their evidence, there would be plenty of other places and beings to turn to. First, how many other gods were there that actually helped people? Anyone else wonder why "primitive" tribes get so much insight, so much inner strength, and so much of a rich culture that we don't see these days? It is because their ancient religions provided actual spiritual guidance. And yes, they were Satanic religions. Their chief god was, invariably, another name for Satan. Lucifer and Enki come to mind. You hear of Baal worship, Beelzebub, and Astaroth (all of whom have alternate names in different cultures). I could go to them, and probably get better spiritual enlightenment (if I wasn't so spiritually dead from decades of spiritual abuse from Christianity--my own or that of those in charge).
To whom shall we go? The sun, Satan, and Astaroth. Hopefully, that will answer their question.