It's not about wanting to go individually. It's about running out of ideas about how to expand the human race, running out of energy and resources, and generally needing a new frontier to expand into. We're stagnating as a civilization.
Space is full of things we need both for up there and down here: energy, metals, water, air, organics, heat, cold, vacuum, zero-G. We can bring a lot of new wealth to us down here and we do a lot up there that isn't easy here. But it's more important than resources.
We need a place for the wild wild west to play out over and over. We need to try new ideas in government and society. Down here it's too easy for these experiments to be swamped by external influences before anything useful is learned. People are too "comfortable" in the sense of "comfort zones". We need to shove a bunch of people into a new pool and make them swim or die, honestly. It's what we're FOR as a species, and it's what we're good at. We're wasting our intrinsic talents down here and we're wasting away because of it.
Think about this. The population is thousand times or a million times what it was in the time of the original discoverers of most of our basic understanding of government, society, the physical world, human discourse, law, mathematics, and many other subjects. We have, therefore, thousands or millions of geniuses to those eras' one. Why aren't we making fundamental progress on such things?
We're limited by our comfort zones. Capitalism, while powerful and definitely most of the reason we're all here and alive and eating and housed today, isn't the last word in solutions to the problems it was evolved to solve. Nor is democracy. Nor socialism, nor Christianity, nor Buddhism, nor Islam, nor American way of doing things, nor are lots of things.
Nobody is trying anymore. Because the cost of trying is just way too high. Natural selection, natural experimentation, evolution -- they've all stopped in the world of ideas. That is, until there is a crisis or a war or a disaster. Then we might dabble a bit to fix what we think might have been the cause or recover from the devastation. But we don't have to fix things most of the time.