Mercury and Venus are the two planets in the solar system without any moons. This is likely due to the close proximity of both planets to the sun.
Planetary satellites form from spatial objects such as gas and dust that clump together in a planetary orbit. Spatial objects far enough away in orbit for the planets to avoid pulling the objects into the atmosphere with gravity are also in an unstable orbit that results in the sun using its high gravitational pull to slam the objects into the sun. Some scientists also believe that the low mass also poses a problem to the development of satellites.