Going back to Mars, discussed above, that planet has little or no elemental oxygen in its atmosphere. However, mineral evidence indicates oxidizing conditions on Mars. This includes most of the iron present in these minerals being oxidized to the +3 oxidation state, as in the iron oxide that reddens its surface and other iron(III) minerals found by rovers on Mars. In addition, nitrogen has been found on an oxidized state as nitrates in Martian rock.
Earth is more straightforward. Even without burning as in a flame, methane is destroyed over time by oxygen in the atmosphere, its carbon ending as carbon dioxide.
Which leaves Venus. Sulfuric acid and associated sulfur oxides also oxidize methane in the atmosphere; again most of the carbon is converted to carbon dioxide (there is a little carbon monoxide) and methane is not reported even at parts per billion levels. Sulfate salts can also be oxidizing to organic matter and are actually used in this way by some anaerobic bacteria on Earth.