Air does have weight. 14.7 psi in fact. Most of the air is Nitrogen gas, which is 2 atoms of nitrogen. There is also Oxygen gas (O2). Finally there is Carbon Dioxide (CO2). There is also a small percentage of other gasses, but they are insignificant.
Yes, air has weight. Air has weight, although at a slightly lower density than something more tangible, like water. We don't feel that the air has weight because the air moves in all directions, so we get "squished by the air" by a miniscule amount
