If you run Microsoft Windows on your MacBook Air, yes, you'll want malware protection.
OS X works nicely out of the box.
But it's possible to install stuff that can or will cause problems.
There's very little malware stuff that'll hit you unexpectedly; what's been around lately has targeted Oracle Java or Adobe Flash vulnerabilities, or it's malware that's managed to convinced the user to install it on behalf of the attacker - examples of the "install me" stuff include various (free) "anti-virus" tools, "video players", "Flash Player updates" (those not from Adobe) or other "software updates", or (unnecessary) "performance optimizers" or "cache cleaners", etc.
And the usual advice: keep your OS X and add-on tools current.