* Low gravity: The Moon's gravity is much weaker than Earth's. This means it can't hold onto gases very well. Any molecules that might form an atmosphere would easily escape into space.
* No magnetic field: The Earth's magnetic field protects us from the solar wind, a stream of charged particles from the Sun. The Moon lacks a significant magnetic field, leaving it vulnerable to the solar wind, which would strip away any atmosphere it might have.
* Lack of volcanic activity: Volcanic activity on Earth releases gases that contribute to our atmosphere. The Moon has very limited volcanic activity, so it doesn't get a steady supply of atmospheric gases.
Essentially, the Moon is too small, too weak, and too inactive to hold onto an atmosphere.
