Mars is in space. Venus is in space. And, I suppose, the Earth is in space, too. :)
But if we're referring to the near-vacuum of space, it's still possible although the forces involved are incredibly small. There is SOME gas/plasma in space, and certain kinds of sound waves with really long wavelengths (called ion acoustic waves) do, indeed, travel through this thin medium. Unlike sound waves traveling in a neutral gas, ion acoustic waves, because they're traveling through a plasma, can also interact electromagnetically.