Apparently, after giving it one little shot here in a convenient location and failing miserably, we think we can just skip straight to Mars and be successful there.
https://en.wikipedia.org/wiki/Biosphere_2#See_also
So that's at least five.
In Poland, there's a Mars-like base being built right now, though not aimed at testing self-sufficient ecosystems but equipment and work procedures of potential off-world colonists. My guess is there's more of such little-known projects happening.
The point being, the number of projects related to living off-world is slowly increasing, and my guess it will only go up as the perspective of Mars mission comes closer (SpaceX is doing a lot of good work making this close to "very soon" in peoples' minds). So we're definitely not "giving it one little shot".
The really weird thing is we already sort of know how - "bottle gardens" are a thing. It seems to be mainly a question of scale. So why aren't we building bigger and bigger bottle gardens?