It's unlikely that either Mercury or Venus could have moons to begin with. Both of these planets are pretty close to the Sun — and in general, this prevents moons from finding stable orbits.
If a moon were too close to the planets, it would fall within the Roche limit and be torn apart by tidal forces. If a moon were too far from the planets, it would fall outside the Hill sphere and be pulled into the Sun.
The zones where moons around these planets could be stable over billions of years is probably so narrow that no body was ever captured into orbit when the planets were first being accreted.
Now, it gets even more complicated in Mercury's case. Its Hill sphere extends about 3000 miles (~4828 km) — that is, any satellite more than 3000 miles from the planet will be pulled away by the Sun's gravity.
However, its Roche limit extends to 3600 miles (~5794 km), so any satellite within this would be ripped apart. Venus lacks this excuse, but the region between where the Sun would pull away a satellite and the Roche limit is probably too small for a satellite to happen to have formed there.
Next, you have to realize that inner planets generally don't have moons. Solar wind pressure usually sends dust and debris flying away from the planets, so they don't have any spare material for moons.
Remember that Earth's Moon is thought to have formed from a collision with the Mars-sized planet Theia. This makes Earth an oddity in itself. Meanwhile, Mars is thought to have captured Phobos and Deimos from the asteroid belt — so Mars and its moons didn't condense from the same dust mass.
With all this, it'd be extremely surprising if we found moons on either Mercury or Venus.