This is more of an addendum to @JohnRennie's answer, outlining your confusion a bit more clearly:
Normally, the gamma-rays-more-PP is for metals etcetera. These have free electrons and the electrons can absorb pretty much anything. Gamma rays, being more energetic, preserve themselves much better that Xrays, radiowaves, etc. Concrete is a composite, so I don't know exactly what goes on inside it, but it's probably something similar.
On the other hand, gas molecules in the air can only absord fixed amounts of energy (above the ionization energy, they can absorb anything)? Since $E=h\nu$, fixed energy $\implies$ fixed frequency. These fixed frequencies are mostly in the UV/Xray/gamma ray range for air. There are enough of these fixed frequencies(due to orbitals, etc) that they basically black out most of the the Xray spectrum. Aside from that, the reaction $3O_2 \overset{h\nu}{\rightleftharpoons} 2O_3$ absorbs UV light in the ozone layer.
On the other hand, radio waves aren't strong enough to be absorbed by an atom, they are probably below the quantum of energy for the atomic system. So they pass through space unhampered, and since they diffract easily, we get the extra benefit of non-directional nature. They can bend around large metal objects as well due to diffraction.