The moon has no atmosphere. It is regularly hit by meteorites. Not sure it’s a very safe place to set up a colony.

Not like Mars is an amazing trip either, but the Moon is simply unsafe long term.

Plus Mars has a far more interesting history so the people living there can do more fun science than stare out at dusty grey rock.

As others have noted, the moon has significant limitations, in terms of resources and atmosphere. I do think it may have utility, not for anything we might consider settlements or habitats, but perhaps domed science outposts.

Mars has larger deposits of water and volatiles, which help with early space expansion.

You can start with a single Moon base but generally it isn't worth the mission control investment once you start to build out Mars.