You can usually omit the को (which corresponds to 'to' in the English sentence) in such sentences with आना and जाना. In fact, it sounds unnatural with the को (मैं दिल्ली को नहीं आऊँगा). It's similar to the English sentence 'I will go home' where the 'to' has been omitted.

Note: Though it has been omitted, the sentence grammatically behaves as if there is an invisible postposition after दिल्ली because आना is an intransitive verb and cannot take a direct object.