But there are lots of reasons to go to Mars, too. For one, it's much harder, which means a lot more innovation will be required to get there and set up a colony. Unlike Venus, though, these are one-time costs - the long-term economics of Mars are likely to be more sustainable. Mars is also richer in natural resources, not the least of which is gravity - we're not sure how much gravity humans need, but we do know that spending a lot of time in zero G is bad for our health. The Moon's gravity may not be sufficient for long-term individual habitation, or for rearing children. Mars also has an atmosphere, from which we can source useful gasses, and which provides (some) protection from radiation, and which gives it weather, making it a more dynamic and interesting place.
In any case, if we can colonize Mars, the same technology is applicable to the Moon, and we'll almost certainly apply it as such around the same time.
On Mars, the regolith is right there. You can just scoop it up and use it. Much easier to turn into buildings, extract resources from it, and so on.
I think we can colonize Venus, and ultimately should, but it presents a lot more problems than Mars. Mars makes a lot of sense as a first step.