Mars's atmosphere is the worst of both worlds. It's of absolutely no use to build a breathable atmosphere. It's just enough to complicate landing and to cover all your equipment in dust when there are planetary-wise dust storms. The ground is poison. Energy production is an issue. Low gravity is a problem. It's a long way from Earth. Terraforming Mars is a fantasy.
Now compare this to the Moon. Inhabitants can remain in real-time contact with Earth. Getting there is far easier and quicker. You can cover large areas with solar panels that will generate way more energy and won't get covered in dust. There's evidence of extensive lava tunnels that can be pressurized and inhabited without the need for massive excavation.
The only real issue with the Moon where Mars actually wins is day length. Mars has almost a normal Earth-like day length. The Moon is tidally locked to Earth on a 28 day orbit so has... a 28 Earth day "Moon day".
You see this same psychology at play every time some fringe scientist comes up with another completely unworkable idea for FTL travel (warp drives,, wormholes, etc).
But really living in another gravity well doesn't mmake much sense in any case. It's further compolication for not a lot of gain. I firmly believe humanity's future is in orbitals (aka an incremental Dyson Swarm). This approach has so much more going for it, except perhaps the added protection of living deep underground on a planet or Moon.