It's a solid celestial body made up of:

* Rock: Mostly silicate rocks, similar to the Earth's crust.

* Regolith: A layer of loose, dusty, and broken rock fragments that covers the surface.

* Ice: Traces of water ice found in permanently shadowed craters at the poles.

While the moon has a very thin atmosphere (called an exosphere), it's not a gas giant like Jupiter or Saturn.