Air is very sparse compared with liquids and solids, so there's just much less material to block light. Secondly, air is very uniform and homogenous so there are no edges to cause reflections and scattering, except in the extreme case of a explosion shockwave. For the same reason, still water is mostly invisible except at the surface, while frothy water is very visible. Thirdly, the molecules that comprise air are very simple and don't have a lot of lines in the visible range. This is in contrast to complex organic molecules with a lot of vibrational and rotational modes. Also, our eyes evolved to see in a range where air is transparent.