it mostly does not have a color, which is why our colors are what we use to see. If air had a color, that would mean that the remaining colors that we can see must have gotten absorbed and would not be useful for seeing with (air would block them and they would be black).
The "color" that air possesses is not in the visible light range (the absorbance is beyond blue, shorter wavelengths than blue, so if there is a color, it is sort of a blue). Most of the filtration (absorption) of incoming solar energy is from secondary constituents like water, ozone, NO2, and so on, rather than O2 and N2, and the light color is that of the sun with some minor filtration by those chemical species.
Basically, if air were not colorless, we would not use the colors we use in order to see. the colors we see would be different ones.