xz(

That is how the game works. You can only play singleplayer with mods unless you feel like doing some file editing workarounds. There is a pretty easy one on the Steam workshop called something like "Civilization Multiplayer Workaround" but you have to follow the instructions very carefully and it might require some troubleshooting. If you're able to pull it off though, playing mods with friends is very satisfying. = )