Far more important than the parachutes is the atmosphere. Even without parachutes, the atmosphere is responsible for almost all of the deceleration the capsule experiences. The atmosphere takes it from orbital velocity (~30,000 m/s EDIT: ~8,000m/s (km/h->m/s conversion fail)) and slows it down to the terminal velocity of the capsule (~100 m/s). The capsule only has to take care of that last bit from terminal velocity down to 0 m/s.

On the moon, there is no atmosphere, so the capsule would have to handle all the deceleration from lunar orbital velocity (~2,000 m/s) to 0. So, in ballpark figures, you're looking at 20 times more 'delta V' (change in velocity) that the capsule would have to accomplish in order to land on the moon. It takes _way_ more fuel to manage that.