We know by many Fathers that St. Peter went to Rome.
For example :
“But since it would be too long to enumerate in such a volume as this the succession of all the churches, we shall confound all those who, in whatever manner, whether through self-satisfaction or vainglory, or through blindness and wicked opinion, assemble other than where it is proper, by pointing out here the succession of the bishops of the greatest and most ancient church known to all, founded and organized at Rome by the two most glorious apostles, Peter and Paul, that church which has the tradition and the faith which comes down to us after having been announced to men by the apostles.” (St. Irenaeus of Lyon, Against Heresies)