The demigods all worshiped Him because ultimately no one but Him can protect a living entity from fear and danger. Seeking shelter of a demigod instead of worshiping the Supreme Personality of Godhead is compared to trying to cross the ocean by grasping the tail of a dog. A dog can swim, but that does not mean that one can cross the ocean by grasping a dog's tail.
Being pleased with the demigods, the Supreme Personality of Godhead advised them to approach Dadhīci to beg him for the bones of his own body. Dadhīci would comply with the request of the demigods, and with the help of his bones Vṛtrāsura could be killed.