Scientists talk about the amount of air around us in terms of something called "air pressure". Air pressure refers to the trillions and trillions of air molecules that are pushing down on you right now. When you are at sea level, there are more air molecules pushing down on you than when you are at the top of Mount Everest, which is 29,029 feet above sea level. More air pressure at sea level means the air is more dense, so the molecules are packed closed together and the air feels thicker than when you're on top of a mountain, where the air will feel thin.

Think of it in terms of stacking a bunch of pillows on top of each other. If you stack a million pillows in a column, the pillow at the base is going to feel a lot of weight on it so it's going to flatten out and become denser, while a pillow in the middle of the column isn't going to have a much weight on it so it won't be as dense. The feathers in the pillow at the base are going to be all squished together, while the feathers in the pillow in the middle are going to have some space between them. Those feathers are just like air molecules.

The higher up you go in altitude, the less air pressure there is, so the air molecules aren't as squished together and the air feels thinner.