If we go back a few verses we find in vv.2-5 Jesus said to the paralytic "Son, your sins are forgiven you." And some of the scribes were sitting there and reasoning in their hearts Why does this Man speak blasphemies like this? Who can forgive sins but God alone?"

The challenge by the Pharisees is- does Jesus have the authority to forgive sins, something only God can do.

Notice that Jesus is able perceive what they are thinking; something only God can do. and so his action also centers upon this point.

Mark 2:10-11“ But that you may know that the Son of Man has power on earth to forgive sins"--He said to the paralytic, I say to you, arise, take up your bed, and go your way to your house."

Jesus was making the point that because he has the power to heal instantly, which can be seen. He is able to forgive ones sins which cannot be seen. to prove it he will physically heal the paralytic. This was to prove that He is who he said He is, and that if he can heal than He can also forgive which proves He is indeed God. Being the Son of Man, one who is flesh has the authority to do what only God can do. The human nature (The Son of Man) they could see but they could not see who He really was, deity. So He proved it by His words, deeds and actions through miracles.