Once, lord Brahma released his Manomaya chakra and instructed the sages to follow it. He also told them that the place at which the Manomaya chakra broke down would be very auspicious for doing penance.
The sages followed the Manomaya chakra, which after travelling for a long time fell down on a large segment of land and its circumference (Nemi) broke down as predicted by lord Brahma. This segment of land became famous as Naimisharanya.
The sages decided to perform a Yagya at that sacred place. This way the very place, sitting where lord Brahma did creations. All the sages commenced their Yagya, which continued for ten thousand years. On the completion of Yagya, the deity arrived there and blessed them as per the instruction of lord Brahma.