Once you start investigating something so extreme such as the cold case he was given, you're gonna wanna what the fuck exactly happened. I mean the disappearance of a girl in thin air combined with a serial killer brutalizing women...yeah I want to know what the fuck was going on too. Add to the fact that Henrik and Frode would know if he was half assing his investigation.

As for Martin, it was clear to me that he thought Blomkvist would never get as far as he did in his investigation and hiding the fact that he has a big fucking secret to hide, he wanted to make himself the obvious choice that he has nothing to do with any of it by say oh yeah let them continue, while trying to scare them off. Guilty people do that type of shit in real life, not to this extreme but you know what I mean.