Great guy. I know he can do it. Millions of people on Mars is the right goal. Along with melting the poles, establishing a CO2 atmosphere, using plants to convert CO2 to O2 and thereby terraforming the planet. Mars, here we come.
So, you can generate as much atmosphere on Mars as you care to imagine, but gradually it will all dissipate away into space, unless you construct networks of structures to contain it.
The most common theory I've read on this is that a massive impact on the Martian planet a few billion years ago not only ejected a lot of its material but also changed the magnetizing dynamo effect of its core (or halted it altogether, not sure). The sun then gradually blew the atmosphere off of the planet.
I'm a huge fan of efforts to colonize Mars; this is just one of the challenges of doing it that I know of. Terraforming in the sense that most people imagine is unfortunately not possible.