Light is made of photons. You can't see a beam of photons because 'seeing' means that photons are going into your eyes after hitting some things. The beam itself couldn't be visible. You may say, that's not true because you see headlight beams in the fog, or flashlight beams in the dark. But they are still scattering off of something (the water particles and dust particles in the air, respectively).
So seeing light beam actually means seeing light particles coming reflected or scattered by hitting dust or some other particles in the air.