Because as a species, we seem to be psychologically set up to explore, roam, branch out.
More specifically, we need a
frontier. In the past, if someone decided that he couldn't stand civilization, he could head off for the Wild West, or Australia, or the Amazon, or several other places. There he could live by his wits in solitude, or perhaps be accepted by one of the surviving Paleolithic or Neolithic tribes and live their much simpler life, or even just live with the rugged frontiersmen in their little villages with log cabins and country stores, never bathing or going to church.
Today that's effectively impossible. The few remaining areas that are out of reach of the cities are so hostile that they would challenge a seasoned outdoorsman, much less a disgruntled office worker. (One of them even has Sarah Palin!) My point is that today no one has to put his money where his mouth is, make the decision, and
live with it. So the cities are full of people who (in many cases honestly) believe that they'd be better of on the frontier, but they can't test that hypothesis, even in the abstract as a logic problem.
I've met several of those people, I'm sure you all have too.
I'm sure most of the fed-up city folk in Dickens's era spent a couple of weeks contemplating the
very real possibility of relocating to Alberta and learning how to survive by trapping beavers, and before they actually bought their steamer ticket they just said, "No, that's not really what I want."
Today no one ever gets to that step in his argument with himself.
Colonies in space will give us at least some semblance of a frontier, although it will just be the "stinky guys in log cabins" kind, not the "trapping beavers" kind or the "living with the last Stone Age tribe" kind.
Besides...having a trans-terrestrial society could make us all fabulously wealthy in material culture.
The cost of transporting anything, including humans, between here and Mars, much less any of the more distant planets, will make the exchange of material goods a very rare event. Fortunately culture is becoming digital as we speak, so there will be plenty of bandwidth to exchange videos, art, music, poetry... and, I suppose, tweets.