That' s just how the English language works in that regard. The Sun is "the" (our) Sun, but there are billions of other suns (stars). Similarly, the Moon, is "the" Moon, but there are dozens more moons in our solar sytem alone--("the Solar Sytem" if you like).
Mars is named after the Roman God 'Mars'. I mean if you name was Jack you wouldn't say, "Hi The Jack".