* Lack of Atmosphere: The Moon has virtually no atmosphere. This means there's no air to scatter sunlight, creating the blue sky we see on Earth. Without an atmosphere, the sky on the Moon appears black, even during the day.
* Sunlight: When the Sun is shining, its light is incredibly bright, overwhelming the faint light of distant stars.
So, even though stars are always present in space, they are too faint to be visible against the black, sunlit sky of the Moon.