Though mycoplasma species stain gram negative, this is not because they do not have peptidoglycans in their cell wall, this is because they have no cell wall. However, based on phylogenetic analysis of the 16s rDNA and also now of the complete genome, they belong to the Firmicutes, a large group that contains only gram-positive bacteria (except the group of the Mollicutes that contains the species without cell wall). It is thought that the Mollicutes have evolved from another group within the Firmicutes. So it is more correct to consider them as a gram positive bacteria that has lost its cell wall and hence also lost the capacity to retain the crystal violet dye.

Thanks Katleen Vranckx