Before Mars is a viable colonization destination, we need to build a good size habitat that's fully or almost fully self-dependent in one of our many oceans that make up most of this planet.
If the purpose really is to attempt to escape extinction events I'd rather live down where food and water are plentiful and within arms reach than any celestial object.
Additionally, international waters are by definition not owned or controlled by any government and are accessible by anyone with a boat.
Technically, this is more than possible with current tech at less cost than sending a rover to Mars (probably), but no one wants to do it because it's not land you can plant a flag into and "claim" as yours.
Building under the sea at any kind of scale falls down quickly as soon as you compare it to say building it on land.
In other words, from cost, to sustainability, to environment, to trade, to defence, to literally whatever criterion you want, living on land is better than living under the sea.
And alas it would not really increase survivability of ELEs. (inside mountains is likely better for that.)
The only reason to colonise Mars is to mitigate an ELE, and its a pretty poor mitigation at that - Mars is more likely to experience an ELE than we are, all it takes is a bit of machinery to fail.
Which begs the question of course, why do we care? If an ELE happens, then it happens. Bummer.
Technically, this is more than possible with current tech at less cost than sending a rover to Mars (probably), but no one wants to do it because it's not land you can plant a flag into and "claim" as yours.