For something to have a colour it has to absorb visible light. There are a range of colours in visible light (think of a rainbow). The light reflected from it then (that is not absorbed) is what we see and perceive as colour – so green leaves absorb red and blue light and we perceive what’s reflected as green.
The air is mostly nitrogen (N2) and oxygen (O2) and these gases do not absorb visible light. therefore the air is clear.
In polluted air sometimes you can have NO2 – nitrogen dioxide. This does absorb visible light – and appears as a brown gas – this is why polluted air sometimes looks brown.