Why haven't we set up settlements under our oceans, the moon and mars (Free write)

Well like I've discussed before, we haven't set up cities, or at least a building on any of these places. There are many reasons why we should build cities in these enviorments, but of course one can think of the reasons why we should do it without me pointing them out, also there is no need for me to repeat what I've said before. Well like I said there are more reasons why we should build cities in these locations, the greatest reason why, is to push our selves, further than our current understanding, to push us to create new technology that is either still science fiction as well as it has not yet been thought of yet.