This saying derives from the behaviour of bees. When a bee finds a good source of pollen it goes back to its hive and tells the other bees to follow it. The other bees then 'make a beeline' for it.
Just to add to the previous answer. When a bee returns from discovering a rich source of pollen, it does not physically lead the other bees back to it. The returning bee actually performs a 'dance' which gives other bees the co-ordinates of where the pollen is, and they use that information to find the source. And then make a 'beeline' straight for it.