Hydrogen bonding is the answer. The way the three atoms of H2O are aligned three-dimensionally causes a weak electric force on opposite sides, sort of like poles of a magnet or static electricity. This force (called hydrogen bonding) causes the water molecule to stick to other molecules of water stronger than normally. When the molecules stick to each other, they stay in the more dense liquid water form for higher temperatures before becoming a gas. As you heat water, eventually the energy of the water becomes high enough to break the static electricity force, which is when it evaporates into gas (steam).
If it weren’t for the extra static force, water would be a gas at room temperature, just like similar other molecules are, like methane. But methane is arranged symmetrically, so it doesn’t have opposite charges on different ends, and therefore no extra static electricity holding it together.
*EDIT*: Note that water isn’t “heavier” than air. You mean liquid water is denser than gaseous air.
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