I can see what you are saying, Ina, and it seems to make sense to me as well. Sure, it would take a lot of work, and modifying things to work under the ocean; but like you are saying, it is sure a lot closer than Mars, or even the moon. We already have underwater restaurants, and there is a luxury resort that is being built that would be livable in the not too distant future; so the technology is there to develop underwater living.
If they started from the shore, then they could actually just build out, and a person could commute from underwater housing to above ground work.
There are other possibilities for living right here on earth, too. We have a lot of uninhabited areas that could be developed. I remember reading that there are large underground rivers under the Sahara, and with some work, it could be irrigated, and turned into a livable area. The Bible even says the desert shall be made to blossom as a rose; so that kind of implies the possibility that we might develop the deserts at some point.
Even if they had to put environmental bubble-domes over the top to conserve water, it would still be cheaper and easier to do it here on this planet than to either transport something elsewhere, or try to make it there.
Another possibility that is already being utilized is underground cities. The government is said to have extensive underground facilities. Just how much of that is true, I don't know, but the information is all over the internet, and I believe that at least some of it is actually real.
http://www.ft.com/cms/s/2/7f63b412-1165-11e3-8321-00144feabdc0.html#slide0