The moon sometimes does turn red when it sets, and for the same reason the sun does.
The light sent to earthly eyes, in the case of the moon, reflected sunlight, is seen filtered through a layer of polluted air, and the path through the dirty air is longest when the heavenly body is at the horizon.
The larger pollution particles scatter and absorb blue light, so the red shines through.
It is an old wives’ tale that when the moon is red it will be hot and humid the next day.
In fact it is the attenuation of moonlight by particles that causes it to turn red.
Typically the particles that are in the air when it is hot and humid are the same that are there when the moon is red, but it’s the particles, not the temperature.