The topic of this thread is an excellent question, but overall the replies contain numerous false statements, so beginners need to be careful drawing conclusions from this discussion.
For example, it should not be concluded that all gases have no color in our visible spectrum. Fluorine is yellow-brown, chlorine is greenish, bromine is red-brown, iodine is violet, etc. The colors of most of the planets in our solar system are due to their atmospheric gases.
That also leads to the importance of distinguishing between "air" and "atmosphere". For example, many of the bands in the Johns Hopkins Atmospheric Transmission chart posted earlier are due to other layers and effects of the atmosphere, not simply air. For instance, the opacity below 8m wavelength is due to ionospheric reflection. Here on the Earth's surface our "normal air" is transparent at that wavelength, not opaque.
I actually liked Schirillo's questions... and instructors/experts should be careful to understand what people are really asking and not quite so harsh in reply.
It's important to recognize that the world we see as humans is a virtual image, constructed by the mechanism of our eyes. What we see is just a transformed representation of reality.
Light is radiated from surfaces in many directions, it's all "just a blur", but it strikes across the cornea and lens surfaces of the eye where it is bent toward a focal point. This is a spatial transformation that allows us to see an image. But, it's not the format of the light as it passed through the air. If you want to see a closer representation of that, grab a convex lens, almost any magnifying glass will do, and look through it across the room. Move the lens until the image expands, appearing to fill the entire lens. You are recollimating the light at the back surface of your eye's lens. The world looks quite different in that domain, yet all the information contained in that light is still there. Your eye simply has no way to "translate it".
Anyway, it would be great to get back to the original question. More should be said.
For example, some readers may want to know more about why light is absorbed or re-emitted as it passes through various materials? This is a great question! How does it change color? Is energy lost in the process? Can we treat the vacuum of space itself like air of very low density (but over huge light paths)? If so, does it also have a color? Could this affect what we observe of extremely distant stars? Might such effects throw-off our computations related to the accelerated expansion of the universe? If so, should we recompute our dark matter results? Etc.
One thing leads to another. From the start, our basic understanding needs to be solid.