There is sound 'in space', up to a point.
Sound can't propagate through a vacuum, because you can't make anything vibrate.
Sound can be propagated through objects that happen to be surrounded by vacuum, and/or the air inside those objects - wearing a spacesuit, you can hear the machinery in the suit, or someone tapping on it, or the radio mounted in it. If you were walking on Mars, you'd be able to hear your own footsteps.
On floors that vibrate (Sci-fi metal!), you could hear the footsteps of people nearby. You could certainly hear the engines of any ship you were in.
I don't remember any scene in The Martian with unrealistic sound - everything audible makes sense from Watney's (or someone else's) perspective.
EDIT: As commented, Mars isn't technically a vacuum, but the atmospheric pressure is less than 1% of Earth's, so human-audible sound wouldn't travel over any meaningful distance. People wearing helmets can still hear things, as described above.
(Aside, the ship-blowing-over thing in The Martian is the only really wrong thing in that movie because of this. They even make the point later, where a tarp will work because of the thin atmosphere).
EDIT2: On further reading, the density of Mars' atmosphere is about 7% of Earth's because it's almost all CO², so you actually could hear loud sounds over a few metres.