* It's between the Earth and the Sun. This is called a New Moon. During this phase, the sun illuminates the far side of the moon, which faces away from us.
* It's very close to the sun in the sky. This means it rises and sets around the same time as the sun, making it difficult to spot against the bright sky.
So, even though we can't see the moon during the New Moon phase, it's still there, just hidden from our view.