They do discuss taking the Rings to the Havens, though not in the context of taking it to Gondor.
And that we shall not find on the roads to the Sea,’ said Galdor. ‘If the return to Iarwain be thought too dangerous, then flight to the Sea is now fraught with gravest peril. My heart tells me that Sauron will expect us to take the western way, when he learns what has befallen. He soon will. The Nine have been unhorsed indeed, but that is but a respite, ere they find new steeds and swifter. Only the waning might of Gondor stands now between him and a march in power along the coasts into the North; and if he comes, assailing the White Towers and the Havens, hereafter the Elves may have no escape from the lengthening shadows of Middle Earth.’
(The Council of Elrond)
The Sea is a long way away from Rivendell, and the Havens even further, and they believe Sauron would expect it. For all the Council knows, Gondor will fall any day now (as it came very close to doing just months later) and Sauron's armies will be marching along the coasts - some of which, a few months later, are already under attack by Sauron. Additionally, the way itself is not safe, and Galdor clearly expects the Ringwraiths will soon be back, in time to hinder them.
A march in power is not even all it would take to seize the Ring. Galdor clearly anticipates other enemies from Mordor:
‘Long yet will that march be delayed,’ said Boromir. ‘Gondor wanes, you say. But Gondor stands, and even the end of its strength is still very strong.’
‘And yet its vigilance can no longer keep back the Nine,’ said Galdor. ‘And other roads he may find that Gondor does not guard.’
(The Council of Elrond)
Moreover, they did not determine for certain that the Ringwraiths were disposed of, just unhorsed, until two months after the Council:
‘Eight out of the Nine are accounted for at least,’ said Gandalf. ‘It is rash to be too sure, yet I think that we may hope now that the Ringwraiths were scattered, and have been obliged to return as best they could to their Master in Mordor, empty and shapeless.
(The Ring Goes South)
But remember, there were plenty of enemies already West of the mountains: the bad men in Bree, for example, and spies of Saruman we see, but also:
‘Regiments of black crows are flying over all the land between the Mountains and the Greyflood,’ he said, ‘and they have passed over Hollin. They are not natives here: they are crebain out of Fangorn and Dunland. I do not know what they are about; possibly there is some trouble away south from which they are fleeing; but I think they are spying out the land. I have also glimpsed many hawks flying high up in the sky. I think we ought to move again this evening. Hollin is no longer wholesome for us: it is being watched.’
(The Lord of the Rings)
There are Wargs, which nearly destroy the fellowship, which is saved only by fleeing into Moria:
Suddenly Aragorn leapt to his feet. ‘How the wind howls! ’ he cried. ‘It is howling with wolf-voices. The Wargs have come west of the Mountains! ’ [...] A great host of Wargs had gathered silently and was now attacking them from every side at once. [...] ‘It is as I feared,’ said Gandalf. These were no ordinary wolves hunting for food in the wilderness. Let us eat quickly and go! ’
(The Lord of the Rings)
There are trolls:
Other wanderers were rare, and of evil sort: trolls might stray down at times out of the northern valleys of the Misty Mountains.
(The Lord of the Rings)
and things Aragorn refuses to name:
‘If Gondor, Boromir, has been a stalwart tower, we have played another part. Many evil things there are that your strong walls and bright swords do not stay. You know little of the lands beyond your bounds. Peace and freedom, do you say? The North would have known them little but for us. Fear would have destroyed them. But when dark things come from the houseless hills, or creep from sunless woods, they fly from us. What roads would any dare to tread, what safety would there be in quiet lands, or in the homes of simple men at night, if the Dúnedain were asleep or were all gone into the grave? [...] “Strider” I am to one fat man who lives within a day's march of foes that would freeze his heart, or lay his little town in ruin, if he were not guarded ceaselessly.
(The Lord of the Rings)
So in short, they don't go West because they believe it's what Sauron will expect, the way is watched and filled with enemies, and the situation will only get worse as time goes on - and they don't really want to take the Ring to Gondor anyway.
