Here's why:

* Atmosphere is defined by gases. An atmosphere is a layer of gases that surround a celestial body.

* Space is mostly empty. The vast expanse of space is a near-perfect vacuum, meaning there is very little matter, including gases, present.

* Planets have atmospheres. Planets, like Earth, have enough gravity to hold onto an atmosphere. The gases are attracted to the planet and form a protective layer.

While there are some very diffuse traces of gas in space, like the interstellar medium, these are far too thin and spread out to be considered an atmosphere.