Yes. You can say "자전거로 가요."
타고 가요 : 타 (the verb stem of 타다) + 고 (connective ending) + 가요 (to go)
* The connective ending '고' is used when the action is still doing while the later action is happening at the same time. So in your sentence, the action of '타다( to ride) is happening while 가다 (to go) also is happening at the same time.
e.g. ) 엄마가 아기를 안고 가요.
언니가 예쁜 옷을 입고 갔어요.