Some planets and moons are covered in a thin layer of gases. This is called an Atmosphere.
Not all atmospheres are the same. In fact, the Earth's atmosphere is the only one we have found that we can breathe.
Atmospheres are held down to the surface by gravity. This means that small planets and moons, which have tiny gravitational pulls, tend not to have them.
Although we cannot normally see our atmosphere, we can certainly feel it when we struggle to school on a windy day.