The “atmosphere” of the moon is a surface boundary exosphere. This means molecules are ejected from the surface (by various processes), fly on a ballistic arc, then hit the surface again with almost no chance of encountering another molecule on the way.

Without interaction between molecules, the atmosphere does not behave as a fluid and cannot form winds.

Any object with enough gravity that ejected molecules have a decent chance of falling back, but no denser atmosphere, will form a surface boundary exosphere.