On Earth, gravity holds things to the Earth. For example, if you
jump up, you come down because gravity pulls you back. This is the
same with gases like oxygen, they can't get very far from the Earth
because gravity pulls them back.
On planets or moons that have very low gravity, gases can escape and
enter space. But space is so big, that whatever gases are found in
space, gases spread out so fast, that they are so far apart from
each other that we say there is no gas in space. What we really mean
is that there is so little gas in space that we can't use it to breath.
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