Assuming a sci-fi style nebula, like the thick clouds seen in Star Trek, extending several light years and hosting star systems inside, one of which gave rise to intelligent life up to current human intelligence level.
The homeworld of that lifeform has a few natural satellites that are small asteroids captured eons ago. Big enough to be seen as moving lights in the sky, not big enough to be able to discern any feature, other planets of their system are hardly able to be seen due to the luminosity and colors of the nebula. The nebula is a thick flesh-colored cloud of gas.
Would that civilization have any incentive to go out into space and why?
EDIT: Please do not comment about how unrealistic that kind of nebula is and the problems it would create would it exist in real life. That is not the question I am asking and you will notice the lack of a 'hard-science' tag. Thank you very much.