Gas is abundance in the universe, can a massive asteroid draws in these gas forming a thin atmosphere?
At a certain size, huge asteroids get classified as dwarf planets. Pluto has an atmosphere 100,000 times thinner than Earth, and Pluto is already one of the two largest dwarf planets known.
Asteroids (like everything) do have gravity, so nearby gas would be drawn to them. But it would take just very tiny distrubances for that gas to drift away, so what little there is would probably be close to undetectable.