Features on Mars resembling dry riverbeds, and the discovery of minerals that form in the presence of water, indicate that Mars once had a thicker atmosphere and was warm enough for liquid water to flow on the surface. However, somehow that thick atmosphere got lost in space. It appears Mars has been cold and dry for billions of years, with an atmosphere so thin, any liquid water on the surface quickly boils away while the sun's ultraviolet radiation scours the ground.
Such harsh conditions are the end of the road for known forms of life. Although it's possible that martian life went underground, where liquid water may still exist and radiation can't reach.
The lead suspect for the theft is the sun, and its favorite M.O. may be the solar wind. All planets in our solar system are constantly blasted by the solar wind, a thin stream of electrically charged gas that continuously blows from the sun's surface into space. On Earth, our planet's global magnetic field shields our atmosphere by diverting most of the solar wind around it. The solar wind’s electrically charged particles, ions and electrons, have difficulty crossing magnetic fields.