If comet or asteroid contain water, then why there's no water on moon or mars?

Lack of gravity on moon's surface, and lack of a magnetic field surrounding mars which causes all liquids to be vaporized by solar winds/rays

There is water on Mars, but it's not liquid. There's evidence of ice in Mars' polar regions, kinda like on Earth. I can't remember for sure but I think it may be underground. There is also evidence that Mars used to have liquid water (there are what looks a lot like dendritic drainage patterns). As far as the moon, any water on the objects that hit it gets vaporized during the impact.

I find it very far fetched to believe that the water on Earth got here from comets and such. There is a LOT of water in the oceans... I'd really have to suspend my disbelief to think any significant amount came from space and survived being vaporized in the impact. Maybe something else rode down on a comet and started off a chain reaction that created the water... something along those lines sounds a lot more reasonable.

The water in the comets and asteroids was created from interaction with the Earth's atmosphere