The belief is that Mars was once like earth, but being smaller its core cooled and solidified faster, shutting off its magnetic field. With no magnetic field to protect against the solar wind, its atmosphere leaked away into space. Liquid water cannot exist without air pressure, so the oceans either evaporated or froze. It is likely that there are still oceans worth of water ice in the regolith, but it’s too cold and the air pressure is too low for liquid water.
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.
Climate change.., and if they could find a couple of wrecked SUVs, that could really help explain a lot too.