There needs to be a better reason to build a colony than tradition.
That has nothing to do with space vs planets.
Space exploration for the purpose of broadening man's knowledge of the universe is a great reason for going to the Moon or Mars, but one will notice, once the Moon was explored we haven't gone back. The reason is simple. There's nothing to do there that can't be done cheaper on Earth. Once you've seen one crater, you've seen them all.
We have gone back, just with robots rather than humans.
There are three things I can think of off the top of my head that are much better done on the moon:
1) Obtaining raw materials for space-based construction. A linear motor can easily throw them off the moon--while nobody has built one powerful enough that's just a matter of not having a need. The engineering is understood, just make one longer. While we could build the tosser here on Earth the flight through the atmosphere is quite another matter.
2) Radio astronomers would love the lunar farside, at least until we start doing a lot of development there.
3) Once you're to the point of major engineering projects on the moon: Build a linear motor wrapped around the lunar equator. It's doubled up so anything on it can ride on (actually levitated above) tracks above as well as tracks below. A spacecraft goes around the track as many times as desired and then is ejected. If you'll accept 5gs on the track the ejection velocity is high enough to put you on a transfer orbit for any point in the solar system, including interstellar space. If you don't mind some hellish aerobraking it means no worrying about launch windows for the nearby planets with atmospheres.
This is without consideration of the technical problems of living in a weightless environment. Weightlessness may come to be seen as analogous to radiation exposure. A person can be exposed to a little radiation with no ill effects. Sustained exposure causes permanent damage. We are now seeing the effects of long term low gravity on the human body. People who commit themselves to live in space may commit themselves to die in space, because as little as six months in zero gravity may make it very difficult for them to return to Earth and live a normal life. This is a very serious matter for long distance space flight. The projected time for a trip to Mars is about 7 months.
1) I've never seen a colony design that was weightless. We are talking structures large enough that spin gravity is fine for humans. (Note, however, that the large open spaces sometimes depicted do not work. You can't permit too great an open vertical space without causing major air movement problems.)
2) Spin gravity can even be used by spaceships, albeit precluding the use of shadow shielding for solar flare protection. They don't need to be huge, just split them into two pieces connected by a cable. You can use electromagnetic shielding, though. (Mount an electron beam accelerator on the spacecraft, IIRC a few hundred megavolts is enough for most shielding, you need gigavolts to stop all the cosmic rays. The objective is building up a positive charge on the spacecraft. Positively charged particles will be slowed by this, negatively charged ones accelerated. The total infalling energy is the same but you replace the protons and alphas with electrons--and electrons are *MUCH* easier to stop.)
Once the physical problems of living without gravity are solved, we will need to find someway to pay for the whole thing. We need to remember a few stark facts that all life on Earth is dependent upon life on Earth. Even the fuel I put in my car was once a living organism. This is the source of wealth on our planet. In space, we either find organic substances, or bring them with us. The non-organic substances on this planet are used mostly for building materials in places where there aren't enough trees to harvest for timber. There has never been a shortage of rock on planet Earth, and that is just about all we find once we leave Earth's gravity.
At first we will have to bring the carbon and nitrogen, perhaps the hydrogen. (That's why they are so interested in finding water on the moon--hydrogen.) Some heavy metals will also be needed. You only need enough to bootstrap to the asteroid belt, though--everything we want can be found there, mostly all broken out for us already. The only problem is the distances--but note that while such trips will be slow they aren't expensive.