If you start an Apollo LRV on the Moon and let it go on flat terrain (with motor off), would it be stopped by ground friction eventually, or doesn't that stop a car? Same question for a train on rails on the Moon. Cars and trains can't be stopped by air resistance on the Moon. Other than by hitting something or going up a hill, would something stop the LRV or would it drive permanently at the same speed until an obstacle might brake it?
It still has the resistance of terrain against wheels (well, weaker than comparable terrain on Earth due to lower gravity - but then the terrain is pretty awful for driving), the same friction of bearings and so on - a car driven through loose sand on Earth will stop really fast due to the sand resistance, and not due to air.
Now if instead of a lunar rover, you use a maglev train on a superconducting track on the Moon, it could move for a long, long time because the resistances it encounters are minuscule. But a rover in the lunar dust? Nope.
The other answers are good, but let me offer a more general answer. If the train or car did go on forever (effectively orbiting the moon, but on land), then you would have discovered a perpetual motion machine. See here for why that's impossible.