Sub-ion-scale magnetic holes play a significant role in electron transportation and energy dissipation. In the upstream region of the terrestrial bow shock, they are expected to originate from the upstream solar wind as well as the foreshock. The Moon can move into the solar wind; whether it can affect the observation of the sub-ion-scale magnetic holes is unclear. Here, we statistically investigate 268 sub-ion-scale magnetic holes in the lunar space environment based on observations of the Acceleration, Reconnection, Turbulence and Electrodynamics of the Moon’s Interaction with the Sun mission. The median duration of these magnetic holes is ∼0.31 s, and the median size of their cross sections is ∼0.5 ρ i or ∼38.9 ρ e. We regard an isolated or a train of magnetic holes as an event; thus, these magnetic holes belong to 207 events. The data at X SSE < 0 and |Y SSE| < 2 R M (lunar radii) account for ∼21.7% of all observed data, but ∼89.4% of the events are observed in this region, suggesting that they are more likely to occur in the lunar wake. Furthermore, their occurrence rates in the lunar wake are much larger in the region close to its boundary than in other wake regions. And the occurrence rates in the lunar wake near the boundary at X SSE > −3 R M are larger in the dawnside than that in the duskside. These observations suggest that the region in the lunar wake close to its boundary is a possible source of sub-ion-scale magnetic holes.