staying on the moon ?

In my last lesson radio Rhubarb sent a reporter to the moon, the reporter said "there is not much of anything on the moon ... a cold blue desert up here" then he says " to be honest i'm not sure why we keep coming back..."
What does he mean by " why we keep coming back" ? Is he meaning he would prefer to stay in that cold blue desert ? 
Thank you for clarifying this for me ?