I'm currently writing this story where an intelligent lifeform, instead of human eye-sight, is able identify the chemical composition of their surroundings, by detecting and "mapping" all the atoms composing ordinary matter. Assuming this could work with complex chemical receptors..how would they feel when leaving their own planet? What would they perceive in outer space? Just an empty vacuum filled with nothing or a sort of fog permeating space?
There's actually three different questions here. You probably thought that they were roughly the same question, but they're actually surprisingly different.
The most straight forward question is "are there atoms in space." And the answer is yes, yes there are. Even in the deepest vacuums of interstellar space, there's a small amount of gas known as the Interstellar Medium (ISM). 99% of it is gas and 1% is dust (small particles). Of the gas, 91% of the atoms you come across are hydrogen, 8.9% are helium, and a tiny 0.1% of the atoms are other elements.
How much gas there is is a more interesting story. In the "coldest" areas of the ISM, where the gases are densest, there are on the order of 1 million molecules per cubic centimeter. In the "hotest" areas, where the gases are the most rarified, there may be as few a 0.0001 molecules per cubic centimeter -- that's a mere 100 molecules in a cubic meter! Contrast that with the kind of numbers we find on earth: at sea level, one can expect to find 10,000,000,000,000,000,000 molecules per cubic centimeter (10^19)!
Which gets into the second question, which is what might the aliens perceive? As we see, these densities are far lower than anything one sees in a planetary environment. Take the bloodhound as a test case. Bloodhounds can detect the tiniest traces of a chemical in the air. Their sensitivity can often reach down into the "parts per trillion" range. That means, with 10^19 molecules per cubic centimeter, they are detecting as few as 10,000,000,000 molecules per cubic centimeter (10^10). That means that, if one were detecting interstellar hydrogen as a bloodhound might detect a scent, the ISM is still 10,000 times less dense than the density of the scents the bloodhound follows.
So a key question here will be whether there is any reason whatsoever for the species to be capable of detecting things 10,000 better than a bloodhound. If they wanted to detect something other than hydrogen and helium, they'd need to be 10,000,000 times more sensitive than a bloodhound. That's a pretty demanding bar. So while technically there's a fog of atoms, it is likely this fog appears so far below their sensory threshold that it would truly feel "empty."
There's also the fundamental question of whether or not their sensory aparati can even function in the vacuum of space. Its entirely possible that all they'll detect is the outgassing of their own body as it slowly evaporates into the void.
The final question, how would they feel, cannot be answered here. Its well recognized that, even among humans, "feeling" is not an easily quantified concept. Philosophers have a term for this: qualia. So there's not much that can be said for this final question.
The intersteller Medium (i.e. the part of space where you are out side of a star's orbital influence) is believed to contain about 1 million molecules of matter per cubic centimeter. This is the least dense part of Space, period. That said, it's not a lot to say... an atmosphere or other matter particulate.
I recall in an interview with Space Shuttle Astronauts the question of "the smell of space" came up. They reported there definitely is a smell; like "seared steak", "hot metal." And also: "welding fumes."