People are often under the assumption that air is but nothingness, which is far from true. The air we breathe is composed of billions and billions of atoms, which individually barely weigh anything but collectively can be quite heavy. When you are at sea level, there is a lot of distance between you and the edge of our atmosphere. All of the weight of those molecules are pressing straight down. If you are up in a mountain, there is shorter distance of atmosphere between you and the edge; therefore less molecules are pushing down on you.
