An anti-air throw is a throw that grabs an opponent who is in midair.
The definition is not entirely strict. If it is a move that is midair unblockable, then in practice it acts much like a strike; it may even grab characters on the ground in some situations (such as Daimon Gorō’s Kumo-Tsukami Nage, which will get huge characters like Jang or himself, or Alex’s EX Air Knee Smash).
Without an invincible hitbox (which anti-air throws usually lack), there is a definite need to use prediction, so these are mostly flashy moves.
However, the damage potential tends to be high, and it usually does forced knockdown, leading to meaty opportunities, so having one is generally good collateral nonetheless.
In combo games, anti-air throws are more often used for combos than for anti-air.