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I am not sure what the differences between these two phrases are. Can you explain when I should use one or the other?

English is not my native language so maybe it is a silly question.

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up vote 4 down vote accepted

At any moment is the correct one. Or simply any moment.

The bus will arrive at any moment.

The bus will arrive any moment.

In a moment means that something will happen very soon, literally any time within the next moment. This makes in any moment senseless.

At any moment on the other hand deals with moments as points in time. At any moment will mean, that at any one of this points something will happen. At a moment will be senseless, because you don't specify which of the moments you're talking about.

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I think "in any moment" isn't actually correct, for example, of all the cases I could think up, "at any moment" was more appropriate.

"Moment" here refers to "time" not a 'situation', so you can't be 'in' any moment, but "at" any moment.

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