Here's why:
* Stars are much larger than planets: The Sun is a giant ball of hot gas that produces its own light and heat. Planets are much smaller and orbit stars.
* Gravity: Planets are held in orbit around stars due to the star's strong gravity. Moons are held in orbit around planets because of the planet's gravity.
* Formation: Planets form from the leftover material in a disk around a young star. Moons can form in a similar way around a planet or be captured by the planet's gravity.
So, while the Sun has planets orbiting it, it doesn't have any moons of its own.