* Atmosphere Scattering: On Earth, the blue sky we see is caused by our atmosphere. Sunlight scatters off air molecules, and blue light scatters more effectively than other colors. This scattering is why the sky appears blue during the day. At night, the sky appears dark because there is less sunlight to scatter.
* Moon's Lack of Atmosphere: The Moon has a very thin exosphere, which is essentially a vacuum. This means there are virtually no particles to scatter sunlight. Without any scattering, the sky appears black, regardless of the time of day.
* Stars Visible During the Day: Because the Moon has no atmosphere to scatter sunlight, stars are visible during the day as well as at night.
So, the black sky on the Moon is a direct result of the lack of a substantial atmosphere.