Here's why:
* The Atmosphere Scatteres Light: Our blue sky is a result of the atmosphere scattering sunlight. The molecules in the air preferentially scatter blue light, making it appear more intense.
* No Scattering, No Color: Without an atmosphere, there's nothing to scatter the light. The light from the sun would travel directly to our eyes, and we'd see the darkness of space.
Of course, you'd also have to consider the absence of other atmospheric phenomena like clouds, rainbows, and sunsets, which are all influenced by the way light interacts with the atmosphere.