Although the Moon is much closer and "right there" for us, it's subject to numerous meteoric incidents, some of which are disastrous enough to wipe out any settlement we set up there.
Moreover, only half of the Moon sees the light of the Sun. This fact alone reduces available surface for settlements to only half of the Moon.
While the Moon could be a temporary backup plan, in the long-term, you're going to need to terraform a planet and make a suitable atmosphere, both of which are not possible to do to the Moon.
Edit: Thanks to the commentators below who mentioned that while the Moon is tidally locked to the Earth, most of its surface does indeed receive light from the Sun.
Only one question though: If that is true, then why do they call it "the dark side of the Moon"? (Honest question)
Moreover, only half of the Moon sees the light of the Sun. This fact alone reduces available surface for settlements to only half of the Moon.
While the Moon could be a temporary backup plan, in the long-term, you're going to need to terraform a planet and make a suitable atmosphere, both of which are not possible to do to the Moon.
Edit: Thanks to the commentators below who mentioned that while the Moon is tidally locked to the Earth, most of its surface does indeed receive light from the Sun.
Only one question though: If that is true, then why do they call it "the dark side of the Moon"? (Honest question)