Step 1: Understanding the Question:
This astronomy question asks which planet among the options does not possess any natural satellites (moons).
Step 2: Key Formulas and approach:
Recall the planetary characteristics of the Solar System, focusing on the moon counts of the planets.
Step 3: Detailed Explanation:
$\bullet$ The inner terrestrial planets are close to the Sun.
$\bullet$ Mercury has zero natural satellites.
$\bullet$ Venus also has zero natural satellites.
$\bullet$ Mars has two small natural satellites, named Phobos and Deimos.
$\bullet$ Jupiter has a massive system of natural satellites, with over \(90\) confirmed moons, including the four large Galilean moons (Io, Europa, Ganymede, and Callisto).
$\bullet$ Saturn has the largest number of confirmed natural satellites, numbering over \(140\), including the massive moon Titan.
Step 4: Final Answer:
Mercury is the only planet in the given options with no natural satellites, corresponding to Option (A).