Under normal conditions, air is a poor conductor of electricity.  In the case of air also, electrons are present but they are firmly bound and under normal conditions, the free electrons do not move around favouring conduction.

However, under high electric field, the air turns to plasma material resulting in charge accumulation, depending upon the high voltage. This causes spark like lightning. In fact, the air behaves like a capacitor with accumulation of charges. It is also based on the concept of dielectric in capacitor which you will study in higher classes.