We say this all the time, because we see videos of weightless astronauts floating in the space station, or jumping about on the moon. But those astronauts that jump on the moon don’t go off endlessly in that direction, which would happen if there were no gravity. They are pulled back by the moon’s gravity, even though it is just a small fraction of the earth’s gravitational pull. And those astronauts on the space station are in orbit around the earth . . . because of gravity!
So there isn’t no gravity in space, there is less gravity!