Here's why:
* The Moon reflects sunlight: The Moon shines because it reflects light from the Sun. The sunlight is much stronger than the light from any star, even the brightest star.
* Stars are too faint: The light from stars is extremely faint compared to the Sun's light. Even if the Moon were to reflect starlight, the reflected light would be too weak to be visible to the naked eye.
Think of it this way: You can't see your reflection in a mirror if there is only a faint light source in the room. The same applies to the Moon. It needs a strong light source like the Sun to reflect light back to us.