Answer:
There are two main reasons. First, Mercury is small and doesn't have much gravity so it's hard to hold onto an atmosphere. Second, Mercury is close to the Sun so any atmosphere gets blasted away by stuff being blown off the Sun.
Explanation:
Because Mercury has no atmosphere, it can't hold onto its heat very well. The night side of Mercury gets very cold, which brings down the average temperature of the planet and makes it only the second hottest planet in the Solar System after Venus.