To expand upon what kmarinas said, the area of gravitational influence, aka the Hill Sphere is small for moons. Moons tend to migrate after their creation. For example, Earth's Moon was originally much closer. This would have virtually eliminated any chance the Moon had for having moons of its own. Billions of years later, after arriving in its current orbit, the Moon's Hill sphere has a lot more room in it for moons, but there's no mechanism remaining for delivering a moon to the Moon. The capture method won't work.
There are no moons of moons in our solar system. However, it wouldn't surprise me if some day they were discovered in exosolar systems.