Of course. Anything with mass is affected by gravity, and gases
certainly have mass.
The mass of all the air above you, given weight by the gravitational
forces that attract it and the Earth toward each other, is the source of
air pressure down here.
In fact ! If gravity had no effect on gases, then Earth would have no
atmosphere, Jupiter/Saturn/Uranus/Neptune would be either tiny solid
balls or else nothing at all, and the sun would never have condensed
from the huge cloud of hydrogen.