So it turns out that lots of asteroids have mini-moons. To me, it seems strange that a smallish object like an asteroid would have enough gravity to keep a moon in its orbit. Then again, I never took astrophysics!
Consider that the nucleus of an atom can hold all kinds of electrons in moonlike orbit. Yet the nucleus is so tiny we cannot even see it.
The trick is that gravity is based on mass and distance. In the asteroid belt, the planets are so far away that their gravitational influence is very weak. Asteroids have much less mass, but since they are much closer, they exert the largest attraction in the neighborhood, and start orbiting each other.