There's also ~80,000 molecules per cubic centimeter on the moon. It's extremely thin but there's still stuff out there it's just a VERY slow transfer because there are so few collisions compared to what you'd get on Earth.
What I mean is that isn't the temperature of "space" -- if we're being pedantic. Such a temperature would presumably be measured by the blackbody radiation of... space, if space were a blackbody.
Just to be pedantic, it actually does, which is the microwave background radiation. But that doesn't detract anything from your point.