What two devices are you trying to AirDrop between? Obviously, based on your post, one of them is your new MacBook Air, but what is the other one?
Regardless, the following are minimum requirements for AirDrop:
- The devices must be within Bluetooth and Wi-Fi range of each other (about 40 feet or 13 meters apart).
- Bluetooth (4.0 LE) & Wi-Fi enabled.
- A Mac does not necessarily need to be connected to the same Wi-Fi network as the other Mac or iOS device.
- iCloud is NOT required unless you only want to AirDrop with your Contacts, in which both parties must be signed in to iCloud.
To AirDrop files between an iOS device and a Mac (or vice versa):
- To send to an iOS device: OS X Yosemite+
- To receive from an IOS device: OS X Lion+
- A 2012+ Mac, except the Mid 2012 Mac Pro
To AirDrop files between two Macs:
- OS X Yosemite+. If you just want to transfer files between two Macs using an AirDrop window in the Finder, instead of the Photos app, both Macs simply need OS X 10.7 Lion or later.
- MacBook Pro (Late 2008) or later, excluding the MacBook Pro (17-inch, Late 2008)
- MacBook Air (Late 2010) or later
- MacBook (Late 2008) or later, excluding the white MacBook (Late 2008)
- iMac (Early 2009) or later
- Mac Mini (Mid 2010) or later
- Mac Pro (Early 2009 with AirPort Extreme card, or Mid 2010)
... and here are a few AirDrop "troubleshooting" articles: