While moons and other celestial bodies can have temporary or very thin atmospheres, planets are the only ones that consistently have substantial atmospheres.
Here's why:
* Gravity: Planets have enough gravity to hold onto a significant amount of gas.
* Distance from the Sun: The distance from the Sun influences the temperature and composition of an atmosphere, and planets are in the right range for many to develop atmospheres.
Let me know if you'd like to know more about the atmospheres of specific planets!