This is because in a zero gravity atmosphere, there is no air to form a thin film between the metals. On earth, when you bring two pieces of metal together, a very thin film of oxidized metal remains on the surface of metals due to the oxygen present in the atmosphere.
This layer of oxidized metal acts as a barrier which prevents metals from sticking to other metal. This is why metal parts that are used in space stations are coated with plastic so as to prevent their contact or else they will stick and result in a lot of malfunction.