It's true that the Sun is predominantly made out of gases. The reason that the gas doesn't dissipate or leave is due to gravity. If you consider Earth, even though the atmosphere above us is made up of gas (nitrogen, oxygen, and carbon dioxide mostly), it doesn't fly off into space because the Earth's gravitational force is strong enough to hold on to most of it. The Sun is much, much larger than the earth (more than 300,000 Earths could fit inside of it), and this also means that the Sun's gravitational force is also much larger and that is why all that gas in the sun can stay together.