The main reason cited is usually one of species resilience. “Not Earth” is an arbitrary requirement bolted on.

The main risk is that of an extinction-level event, such as large meteor impacts, substantial tectonic activity, or a worldwide nuclear disaster.

All of those would likely have minimal impact on an autonomous underground city with a complete, mostly hermetic air filtering system, with three redundant power sources (say, nuclear, solar, and geothermal). That would also be substantially easier to build than a >1K self-sustaining Martian base.