Curiosity: Why not on Moon ?

NASA's next Mars rover, Curiosity, is sitting pretty on a set of spiffy new wheels that would be the envy of any car show on Earth.
It would be nice drive it on another celestial body like Moon without imminent half an hour of delay between the next driving command.

Look how Hayabusa did it on Asteriod.
Seems it is pretty hard to land safely. And return back. Anywhere.