Mercury

Mercury is the closest, and the smallest planet orbiting Sun.

No Moons
Mercury is one of the two planets in the Solar System without a moon (the other being Venus) and here's why.

Mercury despite being more massive than Titan and Ganymede, it is less massive than Venus, Earth, and Mars because of this, it is very hard for Mercury to hold on to a moon. Also when Mercury was very young, it was very close to Sun.