Here's why:
* Gravity is a force of attraction between objects with mass. The Moon has mass, and so does everything on it.
* The strength of gravity depends on the mass of the objects and the distance between them. The Moon has less mass than Earth, and therefore a weaker gravitational pull.
* Moon's gravity is about 1/6th of Earth's gravity. This is why astronauts can jump much higher on the Moon and why things fall slower.
So, while you might feel lighter on the Moon, it's still there, holding you down and keeping the Moon orbiting the Earth.