The magnetic moment is a measure of the strength of a magnetic source. The equation for magnetic moment in the current carrying loop, carrying current $I$ and of area vector $A$ for which the magnitude is given by
$M=I A$
where $I$ is current $A$, is area $\left(=\pi r^{2}\right)$
$\therefore M=I \pi r^{2} $
$\Rightarrow M \propto r^{2}$