* No oxygen: Fire needs oxygen to burn. The moon has an extremely thin atmosphere, with almost no oxygen present.
* No fuel: While there are some traces of water ice on the moon, there's no readily available fuel to sustain a fire.
What you *could* do:
* Chemical reactions: You could create a chemical reaction that produces light and heat, like mixing certain chemicals together. This wouldn't be a "fire" in the traditional sense, but it would create a similar effect.
* Electrical heating: You could use electricity to heat a wire or other object to incandescence, creating a glow.
So, while you can't light a campfire on the moon, you could create other ways of generating light and heat.