Recent works have shown that the Martian moons Phobos and Deimos may have accreted within a giant impact-generated disk whose composition is about an equal mixture of Martian material and impactor material. Just after the giant impact, the Martian surface heated up to similar to 3000-6000 K and the building blocks of moons, including volatile-rich vapor, were heated up to similar to 2000 K. In this paper, we investigate the volatile loss from the building blocks of Phobos and Deimos by hydrodynamic escape of vapor and radiation pressure on condensed particles. We show that a non-negligible amount of volatiles (>10% of the vapor with temperature >1000 K via hydrodynamic escape, and moderately volatile dusts that condense at similar to 700-2000 K via radiation pressure) could be removed just after the impact during their first single orbit from their pericenters to apocenters. Our results indicate that bulk Phobos and Deimos are depleted in volatile elements. Together with future explorations such as the Japan Aerospace eXploration Agency's Martian Moons eXploration mission, our results could be used to constrain the origin of Phobos and Deimos.