Below is a lunar sample with caption. You can see that the regolith "sticks" to itself. Static charges? Shape and/or size of the dust grains?
This is a close-up view of Apollo 12 lunar sample no. 12025, called Core Sample 1, and collected on the lunar surface, about 225 meters below the point where the Apollo 12 Lunar Module touched down. This core sample and others collected on the Apollo 12 mission differ from those collected by the Apollo 11 crewmen in the Sea of Tranquility in that the Apollo 12 core samples have easily recognizable stratigraphy and two coherent crust-like layers. This sample has dominantly fine-grained texture.
Also the lunar regolith surface is a VERY fine powder. It's easier to leave an impression in cornstarch than it is to leave an impression in sand.
Below is a breakdown of the grain sizes in a sample of lunar soil courtesy of Apollo 11:
Grain Size (mm) | %Weight |
10 - 4 | 1.67 |
4 - 2 | 2.39 |
2 - 1 | 3.20 |
1 - 0.5 | 4.01 |
0.5 - 0.25 | 7.72 |
0.25 - 0.15 | 8.23 |
0.15 - 0.090 | 11.51 |
0.090 - 0.075 | 4.01 |
0.075 - 0.045 | 12.40 |
0.045 - 0.020 | 18.02 |
less then 0.020 | 26.85 |