We have permanent presence in Antarctica. Depends on your exact definition of "colony", but a narrow definition of it is barred by international treaty, I think.
Moon is definitely a great first step. I originally said "other heavenly bodies".
You sound like someone in 1900 saying "We can't fly, we're too heavy" or "We can't be in space it's got 0% atmospheric pressure".
We have an atmosphere.
Antartctica has a permanent presence that's totally dependent on regular supplies delivered from other continents. They don't grow their own crops, have their own industry.
We couldn't fly until the early 1900s, primarily because we didn't have engines with power to weight ratios sufficient for heavier-than-air flight. The concept of flight via the Bernoulli principle was known for a long time, and when engines improved people did start flying.
The lack of atmosphere on Mars largely prohibits any self sufficient colony. Colonies could be limited to pressurized habitats. But again, at that point we might as well focus on colonizing the moon which is much closer. I guess if we have a mechanism to somehow pump mars full of air, colonization would become more feasible. But it's a lot harder to work around the law of conservation of mass, than it is to improve internal combustion engines. No, it's not like people doubting the feasibilityy of heavier-than-air flight.