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The present paper studies the generation of terahertz (THz) radiation in CO2 in comparison with atmospheric air at a wide range of pressures. We established experimentally and explained theoretically that for these gases there are optimal pressures at about 1 bar for air and 0.5 bar for CO2 under which the efficiency of conversion from near-infrared to THz frequencies is the highest. We consider the possibility of applying femtosecond laser-induced THz generation for the study of the atmosphere of Mars and found that the overall THz yield near the surface of Mars is just a factor of 6 lower than on Earth. Comparable THz energy on the two planets is associated with underdense plasma on Earth (∼10% of neutrals) and full double ionization of carbon dioxide on Mars (∼200% of neutrals), the latter opening great perspective for THz remote sensing of trace gases in the Martian atmosphere.