PearsonArtPhoto covers the basic issue, which is that light molecules move so fast that they reach lunar escape velocity.
The average speed of the molecules of a particular gas is proportional to the square root of (temperature in Kelvin divided by molecular mass) see https://en.wikipedia.org/wiki/Root-mean-square_speed
I propose a couple of gases with a molecular weight higher than xenon (mw 54) that might be able to sustain an atmosphere on the moon, given that there is very little xenon in the solar system.
I think the chances of terraforming the moon with an atmosphere are very slim, but it's an interesting thought experiment.
Butane (mw 58.) Made of abundant elements. May decompose to lighter hydrocarbons over time, especially if interacting with hydrogen from the solar wind. Butenes or heavier, more unsaturated hydrocarbons (such as benzene) might last longer.
Chlorine Cl2 (mw 71.) Not one of the top ten most common elements in the solar system, so would need to be specifically mined, or imported (earth seawater is about 2% chlorine by mass.) Would be stable on its own, but would oxidise rocks and thus leave the atmosphere if the rocks were oxygen deficient. Forms a number of gaseous oxides, but these are unstable with respect to decomposition to chlorine and oxygen, so would not accumulate. Would react with hydrogen from the solar wind to form hydrogen chloride, which has a lower molecular mass.
EDIT 1: according to wikipedia, the solar wind is a mass flow of about 1E9 kg/s, most of which is hydrogen. At Earth's orbital radius of 150E6km, this is just 1E9 / (4*pi*(150E6)^2) = 3.54E-9kg/km2s or 0.11kg/km2 year. The moon's radius is 1740km, so it presents a 9.511E6km2 surface to the solar wind. The total hydrogen received by the moon from the solar wind is therefore about 3.367E-2kg/s so the replenishment rate of chlorine Cl2 that has been converted to HCl would be quite trivial, in comparison to the unimaginably large task of putting a chlorine atmosphere on the moon in the first place. I'm surprised this number is as small as it is.
Photodissociation of Cl2 into two Cl radicals (which each have a lower mass than CO2) may be a far more significant mechanism of loss of chlorine, but I don't know how to quantify it.
EDIT 2: another possibility is Sulphur Dioxide SO2 (MW 64.) This is probably chemically stabler than either of my previous proposals. There's also a possible non-intentional source for it: If massive building programs on the moon were undertaken using sulphur concrete, it might in the presence of oxygen degrade to SO2. Sulphur concrete is similar to regular concrete in that it contains aggregate, but molten sulphur is used as a binder instead of traditional cement. https://en.wikipedia.org/wiki/Sulfur_concrete