Because it can survive from the very hot temperature of other planets cannot stay longer if they’re the closest.
It is because Mercury is the fastest-moving planet in our solar system. Because of its low escape velocity Mercury hasn’t much of an atmosphere.
Also Mercury has the greatest density in our Solar System. Composed of 70% iron and 30% rock Mercury has a molten core a 600-km thick mantle and a crust of silicates.
Mercury’s magnetic field is inclined at 11% to its rotational axis and has the same polarity as Earth’s just enough to protect it from the full force of the solar wind.
Mercury’s 0.06 albedo is due to a dark-coloured rough porous rock that does not reflect much light. (Wikipedia)
That is why it is the closest planet to sun because it is strong enough to get through our sun’s very hot temperature that also explains why Venus is hotter than Mercury.