Because there's no atmosphere.
That's a bad joke - quite possibly the worst joke I've ever told (most of my jokes, I'm not too modest to admit, are quite the knee-slappers), but I take solace in the fact that it's not my joke, I read it somewhere.
Anyway, it provides a pretty good segue into the point of the post - NASA is testing an inflatable shelter for use on the moon. I must confess, I am nowhere near an expert on outer space, but from what I understand, to inflate something, you would need air, and the moon is pretty much devoid of air, hence the spacesuits worn by Neil Armstrong, et al when they landed in Nevada - er, on the Moon... My conclusion - not based on any science above what I remember from 6th grade, would be that an inflatable ANYTHING on the moon would be a dumb idea - from shelters to pools to those chairs that you get from drinking enough beer or smoking enough cigarettes... But, if NASA can get the government to approve it (and they've granted monies for things just as dumb, e.g. how long it takes to prepare two eggs for breakfast, or the political effects of bullfighting in Spain), then go for it. I'm thinking of asking for a grant of several million dollars to study the effect of having several million dollars in the bank account of a law student with a wife and three kids.