The Moon may have formed from an Earth-orbiting disk of vapor and melt produced by a giant impact.1 The Moon and Earth's mantles have similar compositions. However, it is unclear why lunar samples are more depleted in volatile elements than terrestrial mantle rocks2-3, given that an evaporative escape mechanism4 appears inconsistent with expected disk conditions.5 Dynamical models6-7 suggest that the Moon initially accreted from the outermost disk, but later acquired up to 60% of its mass from melt originating from the inner disk. Here we combine dynamical, thermal and chemical models to show that volatile depletion in the Moon can be explained by preferential accretion of volatile-rich melt in the inner disk to the Earth, rather than to the growing Moon. Melt in the inner disk is initially hot and volatile-poor, but volatiles condense as the disk cools. In our simulations, the delivery of inner disk melt to the Moon effectively ceases when gravitational interactions cause the Moon's orbit to expand away from the disk, and this termination of lunar accretion occurs prior to condensation of potassium and more volatile elements. Thus, the portion of the Moon derived from the inner disk is expected to be volatile depleted. We suggest that this mechanism may explain part or all of the Moon's volatile depletion, depending on the degree of mixing within the lunar interior.