In space there is no air as in our atmosphere, but what does space consist of?

Answer

Especially from emptiness.

But actually that is also the case for our atmosphere. It consists of molecules, which in turn consist of atoms. And those atoms consist of nuclei and electrons. But within the volume of each atom, those nuclei and electrons take up very little space; the rest is emptiness. And between those atoms and molecules there are other atoms and molecules, but again also empty space.

The difference between space and the atmosphere is that there are far fewer atoms per cubic meter over there than here, and so there is more empty space.