Generally we use these terms interchangeably. But there are some differences between these. Let’s go to the concept.
Gas is a state of matter that has no fixed shape & no fixed volume. It possesses perfect molecular mobility & the property of indefinite expansion. Ex- Hydrogen, Nitrogen & Oxygen.
The various mixture of gases in the atmosphere is called Air. It means that air is the combination of Nitrogen, Hydrogen, Oxygen & etc which is present in the atmosphere.
Wind is the flow of gases on a large scale. It is the horizontal motion of air caused by pressure difference ( from high to low) between two places.
All the terms are related to each other. When the gases are combined called Air & when the the air start to flow called Wind.