There is sound in space, but it is so low frequency we can't hear it. As gas gets less dense, the maximum frequency of sound it can transmit goes down.
http://science.nasa.gov/science-news/science-at-nasa/2003/09sep_blackholesounds/
Soundwaves from black hole 57 octaves below middle C
Our solar system must be full of sound waves from the planets, and sun, but too low pitch for any human to hear them. To hear them at all you would need huge extremely sensitive microphones - sort of sound equivalent of a giant optical telescope.
Sounds which humans can hear can only transmit through reasonably dense air, so in space you can only hear the sounds within your spacesuit or spacecraft. Or if any part of you touches another spacesuit or spacecraft, sound can be transmitted through the contact.