The blood takes oxygen to each and every part of the body but the oxygen is not in gaseous form. It is dissolved in the blood. If air is injected directly into a vein or artery, say through an injection, the air will not easily get dissolved and will travel in the bloodstream in the form of a bubble. This bubble may finally reach the brain and get lodged in a blood vessel disrupting the flow of blood in the brain. This can lead to serious complications, even death.
It is to avoid the possibility of introducing an air bubble in the bloodstream that the doctor expels a little liquid from syringe. If air is trapped in the needle it will be driven out by the liquid.
Picture Credit : Google
