You admittedly lack foundational knowledge on this topic, which means you should be asking questions from the position of an open mind rather than trying to insist on the impossibility of something. Even better, you might try to pro-actively acquire some foundational knowledge.
Without having any frame of reference for your learning, and without being a true expert in these matters, this is the situation as I see it.
The Moon is close in terms of distance but not all that attractive in terms of delta-v. Mars and Venus and the Moon are all within hand-waving distance compared to the wider solar system and certainly when compared to anything more distant. Lunar regolith isn't the worst building material, but that it lacks an atmosphere is a more serious stumbling block than might be anticipated. Lunar dust does not get tumbled and so is quite sharp-edged, and liable to get into many unpleasant places. Lack of water is a concern on most places, and that two-week-long night is going to make solar power a challenge except potentially at the poles. Generally, there's not a lot there that isn't common other places, and having some sort of atmosphere tends to be useful. If the goal is to go further out, then Ceres is liable to present most of the same challenges, but without the water issue. The proximity of the Moon in terms of time is a misleading consideration. In an emergency, it's going to take a long time to get out there unless we happen to have a rocket prepped on a pad (which can be assumed not to be the case). Any disaster is liable to be over long before aid could arrive.
Mars is of course not a bad option, and we do have a better handle on how to build ground-based structures. This is the option closest to today's technology and correspondingly has been explored in much more depth. Mars has an atmosphere, more gravity, and potentially-useful ice caps. Whether or not it should be a destination seems moot at this point; we're going.
Venus however has a number of advantages. As mentioned, an Earth-normal atmosphere is a lifting gas in the Venusian atmosphere, and at 50km the temperatures and pressures are reasonably close to Earth norms. Atmosphere leaks would therefore not be catastrophic. Being closer to the Sun provides more available solar power, and being closer to Earth means more frequent launch windows. The main issue is coating the exterior with something resistant to the sulfuric acid atmosphere. As I recall, there are a number of suitable plastics which can be made more-or-less directly from the atmospheric carbon.
For more information, I would suggest browsing Wikipedia, and perhaps reading Geoffrey Landis' work on the matter. He's not the only one with sensible plans for this, and he does have some critics, but his arguments are well-informed and well-considered.
And yes, I asked people to convince me that the Moon was a better option. Generally, the people who think about these things focus on other options. I was certainly hoping for some expert opinions on the matter.