Once a rocket is launched, its speed will increase as long as it's engines fire. Newton's first law is called the law of inertia. In launching a rocket, force has to be applied to overcome inertia. Rockets do not need air to fly like and airplane does. In fact, it will work better in outer space where there is no air.
Air creates friction against the rocket and slows it down.
At higher altitudes the air gets thinner. In outer space there is almost no friction to slow the rocket down. Rockets do well in outer space for another reason. To burn, fuel must combine with a chemical called oxidizer. Oxygen is the most common oxidizer.