To understand this in more detail, consider the following analogy. Imagine a stack of books. The bottom book is under a lot of pressure because of the weight of all the books above it. The top book, on the other hand, is under very little pressure because there are no books above it. The same is true for the atmosphere. The air at sea level is under a lot of pressure because of the weight of all the air above it. The air at higher altitudes is under less pressure because there is less air above it.
The decrease in air density with altitude has several important consequences. One is that it makes it more difficult to breathe at high altitudes. This is because there is less oxygen in a given volume of air at high altitudes. Another consequence is that it makes it easier for objects to fall through the air at high altitudes. This is because there is less air resistance at high altitudes.