Here's why:

* The atmosphere scatters sunlight: The blue color of our sky is caused by the scattering of sunlight by molecules in the atmosphere, primarily nitrogen and oxygen. This scattering effect, known as Rayleigh scattering, is more pronounced for shorter wavelengths of light, like blue.

* No scattering, no color: Without an atmosphere, there's nothing to scatter the sunlight. The sun would appear as a bright white disk against the black backdrop of space.

Think of it like this: astronauts in space see a black sky even during the day because there's no atmosphere to scatter the sunlight.