Clues could be physical clues or just mentally draining. Ether way they would increase your encumbrance. I know it doesn't make sense but I am trying to find justification. It also doesn't make sense in "eldritch horror" when you can carry as many items,clues,spells and artifacts as you could possibly want but are limited to a maximum of 2 travel tickets at one time. That one bugs me.
My understanding (possibly wrong) is that that limitation is to keep people from zooming all around the planet in a single turn. In the time period the game is set in, travel was comparatively slow (notice that there are no airlines, only an occasional charter planes (in the form of a Service Asset)), and it would be quite unthematic to be able to move from Arkham to Sydney in a single go. There are, however, supernatural ways of moving great distances (at least one spell can teleport and Akachi can teleport after closing a gate).
That said, with the addition of Mountains of Madness, they added a mechanic that a character can spend 2 Acquire Asset successes to automatically move to the Antarctica sideboard. This was likely to avoid that it took 3-4 turns for anyone to get to that sideboard (making it a huge time-sink). Curiously, they did not do the same for the Under the Pyramids sideboard (but that one has 4(?) paths connecting it to the main board).