The difference is the same as in English. "to walk" "to go walking"
The first is the verb "to walk" while the second is the verb "to go", to which has been added some activity.
To describe the leisure activity of "walking," the Hindi word is /sair/. To indicated someone goes "by foot," the word is /paidal/. The word in the above example is simply calnā, "to move" (with the implication of moving by one's own feet, in this case!).