Question

Because there is no what on the moon, any liquid water would have evaporated into space long ago.

Answer 1

Atmosphere

Answer 2

The gravity of the Moon is not strong enough to hold water vapor close to the surface. If it were, then liquid water would evaporate only until the pressure of water vapor reached a certain point (that depends on the temperature), and then the remaining liquid would be stable.

It should be pointed out that the present temperature of the day side of the Moon is too high for liquid water to be stable at all, so all of the water would be as water vapor, and the present temperature of the night side of the Moon is so low that the remaining water would be frozen. Only in a few places would you find actual liquid water.

The presence or absence of an atmosphere, e.g. other gases near the surface of the Moon, does not by itself have any effect. But if the Moon's gravity were strong enough to hold onto water vapor, it would also be strong enough to hold onto other gases, like nitrogen and carbon dioxide, and the Moon would have an atmosphere, too.