If only the forces of gravity are present, all objects fall at the same rate. This is what one calls equivalence principle. In classical mechanics it shows up in the force law for two particles of gravitating mass $m_G$ and $M_G$, where $M_G$ shall denote the earth's mass.
$$ m_i \cdot \vec{a} = -G \cdot \frac{m_G \cdot M_G}{|\vec{r} - \vec{r} '|^2 } \cdot \frac{\vec{r} - \vec{r} '}{|\vec{r} - \vec{r} '|} $$
If the inertial mass $m_i$ is equal to the gravitating mass $m_G$ (this is what we observer!), the accelerations is independent of the particle's mass, because they cancel in the equation. Thus, all object fall at the same rate.
This is however only half of the story. Because usually one has to take care of different forces, too. For example if friction (due to an atmosphere) is present. These forces orginate from electromagnetic forces on tiny scales and are modeled to depend on parameters like the size and shape of an object and its surface texture. Also, there is no such thing like the equivalance principle for EM-forces. If an object is heavier, it will "resist" friction more easy if the parameters like size, shape and surface texture are equal, leaving an heavier object falling at a higher rate in an atmosphere than the lighter one. Furthermore, friction is most often modeled to the depend on the objects velocity. For this reason, there is a finite, maximal velocity for any object falling in an atmosphere. This velocity depends on the objects density.
On the moon, however, there is no atmosphere (at least in very good approximation), thus objects on the moon will always fall at the same rate, no matter of their properties!