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Things only have color because they absorb certain wavelengths of light, while reflecting others. When things are in a gasseous form, it's trickier to see the reflected light. 

But you can see air - when you look up at the sky! That's the nitrogen particles scattering blue light. In liquids, where molecules are closer together, you can more easily see the scattering, even if you have a small quantity - but with gasses, you need huge volumes to see the effect.