Actually there is no air as we know it in space. On our earth, air is a mixture of gases, mostly nitrogen and oxygen and some other gases. When you go higher and higher in the atmosphere, there are less and less air molecules. At higher altitudes, the air is thinner (less atoms in the same volume), but the relative amounts of nitrogen and oxygen are the same. This is true until you get about 100km (60 miles) above the surface of the earth. Above that level, light gases like helium and hydrogen are most common. Air thins as you go up in altitude because the majority of air is held close to the earth's surface by gravity.

As I said, there is no air in space. Space is almost a perfect vacuum, but gas and dust particles do float around out there. The medium that fills the space in the universe around the stars and galaxies is called Interstellar Medium. Many people imagine outer space to be a complete vacuum, without any material because it has less matter than any vacuum artificially created on earth, but there is matter in space. These regions have very low densities and consist mainly of gas (99%; most of it is hydrogen and some helium) and dust.

Interstellar dust is not like the dust that you might find under your bed; it is made of very different substances. These dust particles are extremely small, just a fraction of a micron across, which happens to be approximately the wavelength of blue light waves. The particles are irregularly shaped, and are composed of silicates, carbon, ice, and/or iron compounds.