Everything down there is nightmare fuel from the freaky sea creatures (especially all the puss white and see through stuff) to the vast oppressive darkness that natural light can't penetrate to the very nature of its physics. Astronauts can leave their ships to float in space and walk the surface of the moon but expert divers with the best equipment can only go down hundreds of meters.
The very nature of the ocean is meant to kill you.
Only two teams have made it to the deepest known part of the ocean, atmospheric pressure limited them to short trips (less than an hour?), one had to leave early when the pressure started cracking a window.
Setting up a lunar colony is scientifically feasible but underwater living requires more complex technology and scientific problem solving.