From the BBC website:
Scientists have for the first time discovered a cave on the Moon. [...] Lorenzo Bruzzone and Leonardo Carrer at the University of Trento in Italy found the cave by using radar to penetrate the opening of a pit on a rocky plain called the Mare Tranquillitatis. It is visible to the naked eye from Earth, and is also where Apollo 11 landed in 1969. The cave has a skylight on the Moon’s surface, leading down to vertical and overhanging walls, and a sloping floor that might extend further underground.
It was made millions or billions of years ago when lava flowed on the Moon, creating a tunnel through the rock. The closest equivalent on Earth would be the volcanic caves in Lanzarote, Spain, Prof Carrer explains, adding that the researchers visited those caves as part of their work.