Mars has two moons, Phobos and Deimos. Due to its closeness to the planet's surface and its unusually fast orbit, it's been established that the density of Phobos is very low.
In fact, in the 1950s and 60s there were speculations that it was a hollow artificial object. A Russian astrophysicist calculated that it was an iron sphere less than 6cm thick - this theory was supported by President Eisenhower's science advisor, who stated that its purpose "would probably be to sweep up radiation in Mars' atmosphere, so that Martians could safely operate around their planet." It was also announced that NASA was considering the possibility that Phobos "might be a colossal base orbiting Mars".
Disappointingly, further calculations revealed Phobos's density to be higher than previously thought, inconsistent with a hollow shell, and images obtained by Viking probes in the 1970s clearly showed a natural object, not an artificial one. Oh well.