These particles of air take up space. These molecules have volume. Air molecules can be squeezed into a tube where they are tightly compressed together. They can also expand and spread out across a wide area. They also have weight.
Some molecules actually weigh more than others.
For example, scientists discovered some time ago that hydrogen and helium are lightweight gas molecules while nitrogen and carbon dioxide molecules are heavyweights. Because these molecules are made up of matter, have volume and have mass, they can exert a tremendous amount of pressure and force. You can feel the air pushing against you when the wind blows. As you move through a room, you push against the air molecules, moving them around.