We find strange moons with sub-moons (as i'm calling them) because we usually don't see them, as the "Sub-moons" aren't been seen yet. However nothing say they cannot exist. (think about a miniature system Sun - Earth - Moon, orbiting another star...)
Simply we haven't find them yet because they are, teoretically, really unusual (try to visualise the hill sphere of the moon and look how small it is)
EDIT (after realizing that Dan replied already)
DHO!!!