Moon neither has atmosphere (pretty much zero atmosphere) nor large bodies of water. The wind & circulation happens due to uneven heating, cooling of the surface and water bodies. read more
But since there is no significant Atmosphere & no large Water bodies, there is no wind on the moon. But there is one exception. NASA scientists have detected dust plumes/storms, couple of hours after the Lunar Sunrise and Sunset. read more
You might have also see a few videos of the flag on the Moon waving back and forth. read more