Air equals gravity in movies (again)

No WAY. Air = gravity. No air = no gravity. How clearer could it be? This also happened in the movie Wall-E and I posted about it then. Basically, many people think that if there is no air there is no gravity. It sort of makes sense – if you are in space, there is no air and no gravity. Except that there IS gravity in orbit. And what about the moon? There is no air there, but clearly there is gravity.