In the vacuum of space there is nothing to hold a liquid together. A drop of liquid would quickly evaporate. In the rest of the Universe, the most common unit is the star. All stars are made of gas. The temperature and pressure of even the coolest star ensures that all substances within the star are gaseous.
Liquids can only exist as the 'filling' of a sandwich.
Liquids require a solid surface to hold them and a gaseous or solid topping to keep them from evaporating away. A body like the moon which has no atmosphere cannot have any liquid on its surface. The only places in the Universe where liquids can exist are solid planets with atmospheres or planets where the liquid is covered by its frozen form. In the Solar System there are only five places where liquids could exist. The Sun is wholly gaseous.