Is there an agent that changes colour when exposed to air?
Many compounds change colour when exposed to 'air', however, this is usually due to the presence of either water or oxygen, rather than 'air'.

To give a few examples:

*when distilling a solvent such as THF over sodium/potassium, benzophenone is used as an indicator. In the absence of air, the indicator leaves the solution a deep purple colour, however if an excess of air is present, the indicator turns a clear/brown colour. 

*drierite is an indicator often used in inert gas drying tubes. In its dry form, it is either deep blue or orange, however when wet it turns white/pale orange. 

Several other indicators exist, however its worth noting that air is merely a mixture of multiple things, and as such any indicator will indicate for a specific component of air rather than air as a whole- with water and oxygen being the most common things to indicate for.