Concrete, and ceramics in general, tend to perform much better in compression than in tension. So it's great for stuff that has to bear a lot of weight, pillars, foundations, walls, etc., but not so much for things that will be pressurized from the inside (like space stations). You can do stuff to help alleviate this, like using reinforced or prestressed concrete, but I think for a pressure vessel shell you're going to get better strength to weight with metals. Though having said that, I looked briefly on google and apparently concrete pressure vessels exist.
But anyways, consider how we make boats out of steel all the time, but making a concrete boat is rather difficult. Concrete is just so damn heavy. The tradeoff is that it's cheap though, good for when you need metric ****-tons (literally) of building material.
Now for something built in space that doesn't have to go anywhere, weight obviously won't matter as much. So in that case I could maybe see using concrete to make some kind of man-made asteroid base: Just a big solid block you can bolt stuff to and have rooms and tunnels cast in. Then it could just be so thick that holding one atmosphere of pressure is no problem.