Air is not a good conductor of heat, as it actually serves as an insulator when it is contained in an enclosed area. Air helps to prevent heat loss, instead of transferring heat to or between surfaces.
Conduction is the transfer of heat through physical contact with a material, and air does not allow for this type of transfer. Instead, air helps keep heat in, and therefore is a key component in many types of insulation.
Materials such as wood, paper and cloth are also poor conductors of heat. Excellent conductors of heat include metals and stone, as they can quickly transfer warmth.