I think it is mostly to do with the "romantic" idea that Mars is a lot more hospitable than the moon and that we could eventually Terra-form Mars into a Second Earth, where it would be a wonderful place to live. Mars has long had a special place in our imaginations.
I don't think that most people realize that Mars is almost as inhospitable as the Moon, i.e. that the atmosphere is very thin, that on the surface of Mars we would have to wear pressurized spacesuits, that we would have to live in pressurized habitats, that the surface is bombarded by solar and cosmic radiation, and that most of the planet is below freezing all of the time.
Mars being so much farther away than the Moon increases the logistical challenges immensely. The only plus I can think of for Mars is that there appears to be vast quantities of frozen water ice just below the surface.
A colony on the Moon would be easier and a lot cheaper, but I guess it all comes down to what the long term purpose of the colony is.