Water comes in different forms, or states of matter. There's liquid water, solid water (ice), and water as a gas (water vapor).

When liquid water becomes water vapor, it's called evaporation. The water molecules that make up water vapor float in the air. You can't see them, but they are there.

Water is constantly being recycled in the water cycle, through evaporation and condensation.

So, you're right, there is water in the air.