Let us understand first that why water is in solid state in cold temperature below 0 and not in solid form above 0 degree. It is because for every matter, to change its state some specific pressure and temperature is required. So at normal atmospheric pressure, for water that temperature is 0 degree, thus when temperature goes below 0 it becomes solid.
Now coming on to air, for air, to convert it into liquid, it requires very very high pressure and and very low temperature thus air doesn't convert into liquid or solid in atmospheric pressure and normal winters temperature.
For example air mainly consists of nitrogen, to convert nitrogen into liquid it requires temperature of -195.8 degree celcius and generally temperature of winters hardly reaches 0.