Walking on Air Lyrics

Lyric discussion by Holzwege 

Cover art for Walking on Air lyrics by King Crimson

I get the idea it's about a person having delusional romantic fantasies or dreams of an imaginary lover or fantasizing about 'what could be'/'could have been' between themselves and an actual person who has become more of an ideal.

The person is actually closing their eyes and looking inward towards an imaginary or idealized lover (represented by the singer/narrator/adrian belew).

Imaginary or idealized, it's clearly not a relationship grounded in reality, hence "walking on air".