The instinct to seek out light is called phototaxis and moths use this instinct in order to navigate. It used to be moths got themselves to and fro by using the light of the moon and stars- and then we went and invented the lightbulb! The instinct so seek out light is overwhelming for moths, so they can't help but be attracted to a light source brighter than the moon!

Yellow light bulbs are not as bright to moths. This kind of bulb, also called a 'bug light' is sold at many stores and keeps moths at bay.