Mercury has an extremely thin atmosphere which is made up of atoms blasted off its surface by the solar wind, a constant stream of particles coming from the outer layer of the sun. Because Mercury is so hot, these atoms quickly escape into space. Unlike the stable atmospheres of Earth and Venus, Mercury's atmosphere is constantly being replenished.
An atmosphere is a layer of gases that may surround a material body of sufficient mass, by the gravity of the body, and are retained for a longer duration if gravity is high and the atmosphere's temperature is low. Some planets consist mainly of various gases, and therefore have very deep atmospheres