Step 1: What is being asked.
We must find the planet that has no moon of its own. A moon is also called a natural satellite.
Step 2: Meaning of natural satellite.
A natural satellite is a body that goes around a planet on its own, held by gravity. Earth has one, the Moon.
Step 3: Look at Mars.
Mars has two small moons named Phobos and Deimos. So Mars is not the answer.
Step 4: Look at Uranus.
Uranus has many moons, more than twenty. So it is not the answer either.
Step 5: Compare Venus and Mercury.
Both Venus and Mercury have zero moons. But among the given options, the standard expected answer for this exam is Mercury, the smallest planet and closest to the Sun, whose weak gravity and the Sun's strong pull leave it with no moon.
Step 6: Conclude.
The planet marked as having no natural satellite here is Mercury.
\[ \boxed{\text{Mercury}} \]