Canada is one of the biggest foreign investors globally. No one wants to invest locally these days.
If the Canada Pension Fund was wholly invested in Canada, it would have the issues of:
When the market self-correct, the value of the Canada Pension Fund, solely invested in Canada (in Canadian dollars) would lose value compared ot other currencies, meaning Canadians would not have made a single penny out of their investment because it was solely invested in Canada.
By investing abroad in multiple currencies, the Canada Pension Fund shields itself from localize downturns, prevents artificial overheating of the Canadian economy and insures itself from the fluctuations of a single currency.