Comets have tails. We all know that, and a lucky few have seen the better known. So why don't the planets (e.g. Earth, Mars) have tails? Why don't asteroids don't have tails?
See Jeans Escape. If the average velocity of the volatile molecules is above escape velocity, volatiles will escape. And the with the shallow gravity wells of comets, escape velocity is very low.
The earth and Mars have lots volatile gases and ice. But with their deeper gravity wells, sublimated volatile ices aren't hurled into space as they are with comets.
A lot of asteroids have high enough temperatures that any volatiles would exceed their tiny escape velocity. Which is why a lot of asteroids in our neighborhood have little or no volatile ices. If they ever had ice, it would have long since boiled off. For example, after Comet Wilson Harrington outgassed much of its volatiles, it'd no longer have a tail when coming near the sun. They thought they had lost the comet when they stopped sighting it. Then later they discovered asteroid 1979 VA. Then they noticed they were the same object.
It's speculated there are more "dead" comets like Asteroid 1979 VA. Former comets who've outgassed most their volatiles.
In order for an object to have a tail like a comet it must first possess a number of qualities:
Most planets and moons won't have a tail because of
Edit: This answer is 100% speculation and based on no research or sources.