The exponential function as I know it is defined as: $$\exp:\mathfrak{g}\to G$$ and it gives each element $X$ the value of $\exp_X(1)$ where $\exp_X$ is the unique $\mathbb{R}\to G$ homomorphism that has $d(\exp_X)_0 (0)= X$.
This definition makes sense to me (when I look for example at matrix groups or more simply at $\mathbb{R}$). Despite that, in all simple examples the exponential map is a $G \to G$ map. Of course in these simple cases $\mathfrak{g} \simeq G$ so it still coincides with the definition above. Even so, I see no good reason that the generalization of the exponential map from matrix groups to all group be a $\mathfrak{g}\to G$ map.
Despite that, on matrix groups $\exp$ could be defined as a $G \to M_n(\mathbb{F})$ map, and then you will need to restrict it to a $\exp^{-1}(G) \to G$ map, where for some reason we will have $\exp^{-1}(G)\simeq \mathfrak{g}$. Even so, I see no good reason that the generalization of the exponential map from matrix groups to all group be a $\mathfrak{g}\to G$ map.
What is the reasoning for that?