But the goal isn't to just colonize any old planet. It's to colonize a place we can successfully terraform. Mars is the clear winner in that respect, and it's not close.
Mercury needs basically a planet's worth of water and atmosphere to be imported. Mars on the other hand could be (we hope) good to go. The only question for Mars is whether there are abundant amounts of nitrogen locked up in the soil. But even if not, the amount of stuff we'd need to import by bombarding the planet with asteroids would be orders of magnitude less than for Mercury.
Mercury needs basically a planet's worth of water and atmosphere to be imported. Mars on the other hand could be (we hope) good to go. The only question for Mars is whether there are abundant amounts of nitrogen locked up in the soil. But even if not, the amount of stuff we'd need to import by bombarding the planet with asteroids would be orders of magnitude less than for Mercury.