This doesn’t refer to replacing the Temple sacrifices (see “Common Jewish Questions about Jesus”). The context for Hosea is false repentance (Hos. 6:4ff). The Pharisees brought their sacrifices to the Temple, but they didn’t love. They believe that they’re healthy, because they are sacrificial. This tax collector was a sinner, but he realized his need for forgiveness. He’s sick and knows it (v.12). He needs God’s compassion.
The application here is to have (1) true repentance—not false, duplicitous worship, (2) God wants us to see our need and come to him for it—he doesn’t want us to pretend that we have it together, (3) recognize our sickness.