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.
Is that really "space" as opposed to "the lingering effects of the big bang"? (or less interestingly, the temperature of the CMB photon gas)
I don't think a photon can exist outside of space, but I'd be very interested to hear of any alternate points of view on that!
Just to be pedantic, it actually does, which is the microwave background radiation. But that doesn't detract anything from your point.