Here are some reasons:
Mars has a day/night cycle very close to Earth. The moon has a 4 week day/night cycle. During the two week night, it gets extremely cold, and solar power is not available for generating energy. Mars has a ready supply of water, which is essential for any human colonization. The moon may have water in permanently shadowed craters at the poles, but this has not been proven. Elsewhere on the moon is extremely dry, so water does not appear to be available. Mars has carbon, hydrogen, oxygen, and probably nitrogen available, several metals are available, and various other elements can be found in smaller amounts. The moon has oxygen and a few metals, but everything else is challenging. Mars has a 24 hour day and a higher gravity THAN MOON*. Building a small station on Moon is easier, but for a colony Mars is better.