Look at this image

The vertical axis is the escape velocity in kilometers per second.

The horizontal axis is surface temperature in Kelvin.

Surface temperature causes gas atoms to speed up. The higher the temperature the faster the speed.

Simply speaking, if the speed of gas atoms caused by the surface temperature exceeds the escape velocity caused by gravity, gas atoms float off into space.

The so-called vacuum of space happens because gravity attracts more gas atoms to stars, planets, moons, asteroids, comets, etc. than are floating in the space between these objects.

Here is an article on the atmosphere of the Moon.