"Why did Bodhidharma come from the West?"
This ancient question is a gong'an (Jp. ko'an), a question used in Chan (Zen) practice to help the disciple break past rational thought and achieve a level of awakening. Other examples ask about the "sound of one hand" and "your original face before your mother and father were born."
As such, gong'ans are meant to be unanswerable.
So we will attempt to explore a simpler question: not "Why did Bodhidharma come from the West?" but "How did Bodhidharma come from the West?"