Then its possible Europa was covered by water - and other moons. The water was lost to space or became ice with liquid water deeper down where its still warmer - I'm sure we'll be tapping into those reservoirs. Now I'm wondering how large a body must be to retain an atmosphere, does it need to rotate and/or produce a magnetic field? Certainly a denser planet would keep more atmosphere.
It's possible these moons may have had a thick atmosphere and thus liquid water but probably more likely that they never did or that it was very brief. While the sun isn't blasting them, Jupiter certainly is. Europa is one of the most deadly radiation environments in the solar system and I imagine that doesn't help an atmosphere or an ocean as it will accelerate the breakdown of heavier chemicals (like water) which in turn makes them more likely to be lost.
Also, because they are so far from the Sun, the kind of chemistries and processes that happen in the inner solar system don't really apply. So water would be (and is on Titan) frozen hard as rock, CO2 is the same, and lots of other gases just can't be gases. Basically this means that while it's possible for a rocky planet to have a true atmosphere out in the outer solar system, it's still much less likely.
I read an article the other day that points out that it's very likely that the moon had a decent atmosphere for a long time given it was seeded for one since it came from such a rich planet (ours). Also because the moon is so small it's actually not that hard to give it an atmosphere that would take thousands or millions of years to dissipate.
I have a 1970's NASA design study on giant space stations built of lunar material and they did an analysis that showed that the exhaust gas from even a hundred big rockets a year off the surface of the moon would give it an appreciable atmosphere that would last thousands of years. Setting up any major industry on the moon will in fact result in enough out gassing through normal industrial processes and as byproduct of human habitation that an atmosphere would be unavoidable. You wouldn't want to breathe it but very plausibly you could walk outside with minimal space gear and the amount of radiation the surface sees would fall off a cliff.
The size of a planet really just affects the limits of a potential atmosphere. How close the planet can be from the sun, how thick the atmosphere will be, what types of chemicals it contains and so on are deeply affected by the mass of the planet.
I don't think the density of the planet has a big effect (especially compared to overall mass) though of course you could point out some oddball corner cases where it does.
Spin rate doesn't affect the ability to have an atmosphere that much I think.
Magnetic fields certainly help retain an atmosphere and modify the parameters of what kind of atmosphere a planet has and how close it can be to the sun and retain it but it isn't always necessary.