Others have explained the “air is thinner higher up” thing well enough, so I think I’ll add a cool FYI which 5 year old me would have loved to have learned.
When fighter planes are shooting radar-guided missiles at each other, the primary way you defend yourself is to turn around and dive into thicker air close to the ground. Missile rockets do not last forever, so if you make the missile maneuver through dense air long enough, they will lose their energy and eventually fall out of the sky.
Source: Too many DCS videos.
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