Mars lacks sufficient gravity to hold a sensible atmosphere for long.
It is easy for gas molecules to reach escape velocity, given that Mars IS a small planet.
Saturn’s moon Titan is smaller than our moon but has an atmosphere thicker than earth’s. Venus has an atmosphere 90 times as dense as earth even though the planet is the same size. It’s not about size or gravity as much as other factors. The solar wind is only 1% as strong out by Saturn, for example.
In the case of Mars, global cooling could have only been the result of environmentalists banning fossil fuels and planting trees to consume all the CO2. They just went too damn far.