Sunlight reaches Earth’s atmosphere and is scattered in all directions by the gasses and particles in the atmosphere. These particles in the air scatter blue light more than any other light. This is mainly because of the blue light’s properties of being shorter and having a smaller wavelength. Therefore, we see a blue sky during the day. The moon has no atmosphere, and thus there are no particles that would scatter light, this is why the moon’s sky always appears dark. (Source)