© ESO/M. Kornmesser
Because even though Proxima b is in that solar system's habitable zone (often called its "goldilocks zone"), its star Proxima Centauri seems to be more volatile than our sun. Proxima Centuari has been detected unleashing a giant solar flare of approximately 316,227,766,000 petajoules (316,227 petawatts). It was powerful enough that the normally dim red dwarf star could be seen from Earth.
It was also powerful enough that it may have fried any life living on the surface of Proxima b, and this may be common enough that future settlements there wouldn't last very long.
Now, it's unlikely that any life was sitting on the surface while this event occurred. One reason is that the chances of life forming so close are slim, and we have no evidence of any life there beyond that the planet is usually the right temperature for liquid water to form.
The other reason is that solar flares of this immense magnitude seem to be fairly common with Proxima Centauri. This superflare was first detected back in March 2016 by the Evryscope telescope array, and it was notable for being 10 times larger than any other solar activity we'd seen from the star. But it's been volatile for quite some time.
Beyond having enough solar wind to be a threat to life on any planet's surface, Proxima Centauri has plenty of smaller flares that could be dangerous as well. Our sun has flares from time to time which can disrupt GPS systems, but we seem to be more lucky in regards to how comparatively calm our star is.
There are other exoplanets in farther systems that are now more likely to contain life (although that's still an impossibly slim percentage), but for now, we'll need to stick to our own solar system.
